Government Intervention and Arbitrage
研究了政府直接干预市场如何导致其他套利相关市场违反一价定律，通过模型和1980-2009年存托凭证及交叉上市样本的实证分析，发现干预通过模糊交易者对资产收益的推断产生价格差异。
Abstract Direct government intervention in a market may induce violations of the law of one price in other, arbitrage-related markets. I show that a government pursuing a nonpublic, partially informative price target in a model of strategic market-order trading and segmented dealership generates equilibrium price differentials among fundamentally identical assets by clouding dealers’ inference about the targeted asset’s payoff from its order flow, to an extent complexly dependent on existing price formation. I find supportive evidence using a sample of American Depositary Receipts and other cross-listings traded in the major U.S. exchanges, along with currency interventions by developed and emerging countries between 1980 and 2009. Received May 18, 2016; editorial decision May 10, 2017 by Editor Andrew Karolyi.