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The Brady-Euro Yield Differential Debate
Ms.Elaine Karen BuckbergFederico L. Kaune Moreno
其他書名
Why Arbitrage is Infeasible
出版International Monetary Fund, 1996-11-01
主題Business & Economics / Investments & Securities / BondsBusiness & Economics / Finance / GeneralBusiness & Economics / Banks & Banking
ISBN14519359199781451935912
URLhttp://books.google.com.hk/books?id=OYkYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋Brady bonds offer substantially higher returns than Eurobonds. This paper examines the Brady and Eurobond markets for developing country debt and finds that the apparent arbitrage opportunity is not only smaller than it at first appears, but is infeasible given the illiquidity of the Eurobond market. The maturity adjusted return differential between Brady and Eurobonds is smaller than the commonly cited yield spreads. Moreover, the transactions costs of executing a Eurobond short contract render arbitrage a loss-making proposition. Given the many crossover investors who are active in both the Brady and Euro markets, why do Eurobond investors not trade them actively?