Price discovery and persistent arbitrage violations in credit markets
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DOI: 10.1111/fima.12261
Abstract: This paper investigates price violations in credit markets using a data sample spanning from 2002 to 2016. We find that price violations are highly persistent during the crisis period, particularly for speculative‐grade bonds. There is… read more here.
Keywords: violations credit; price; credit markets; arbitrage ... See more keywords