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Bank-intermediated arbitrage

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Personen und Körperschaften: Boyarchenko, Nina (VerfasserIn), Eisenbach, Thomas M. (VerfasserIn), Gupta, Pooja (VerfasserIn), Shachar, Or (VerfasserIn), Van Tassel, Peter (VerfasserIn)
Weitere Verfasser: Eisenbach, Thomas M. [VerfasserIn] • Gupta, Pooja [VerfasserIn] • Shachar, Or [VerfasserIn] • Van Tassel, Peter [VerfasserIn]
Format: E-Book
Sprache: Englisch
veröffentlicht:
New York, NY Federal Reserve Bank of New York [2018]
Gesamtaufnahme: Federal Reserve Bank of New York: Staff reports ; no. 858 (June 2018)
Quelle: Verbunddaten SWB
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Details
Zusammenfassung: We argue that post-crisis bank regulation can explain large, persistent deviations from parity on basis trades requiring leverage. Documenting the financing cost and balance sheet impact on a broad array of basis trades for regulated institutions, we show that the implied return on equity on such trades is considerably lower under post-crisis regulation. In addition, although hedge funds would serve as natural alternative arbitrageurs, we document that funds reliant on leverage from a global systemically important bank suffer significant declines in assets and returns relative to unlevered funds. Thus, post-crisis regulation not only affects the targeted banks directly but also spills over to unregulated firms that rely on bank intermediation for their arbitrage strategies.
Umfang: 1 Online-Ressource (circa 64 Seiten); Illustrationen