Segmented Arbitrage

• 成果类型: Article
• 署名作者: Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13469
• 发表日期: 2025
• 页码: 2543-2590
• 关键词: Yield curve; MARKET; deviations; liquidity; DYNAMICS; return; MODEL; RISK

摘要

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are inconsistent with canonical intermediary asset pricing models. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented-certain trades rely on specific funding sources, making their arbitrage spreads sensitive to localized funding shocks. Second, balance sheets are segmented-intermediaries specialize in certain trades, so arbitrage spreads are sensitive to idiosyncratic balance-sheet shocks.