Price discovery and persistent arbitrage violations in credit markets
研究了2002至2016年信用市场中价格违规的持续性，发现危机期间投机级债券的价格违规高度持续，且与市场整体和公司层面的套利障碍及资本供给有限有关。
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 evidence that price distortions and market disintegration are linked to market‐wide and firm‐level impediments to arbitrage and limited capital provision. Higher firm‐level impediments to arbitrage lead to less market integration, and more severe and persistent pricing discrepancies. Moreover, we find that the negative CDS basis persists in the postcrisis period, which is attributable to dealers’ lower capital commitment and deterioration in market‐making quality.