Question
Discuss the effect of leverage and margin requirements on the arbitrage strategy. The Federal Reserve's Regulation T. requires that investors post minimum initial capital of
Discuss the effect of leverage and margin requirements on the arbitrage strategy. The Federal Reserve's Regulation T. requires that investors post minimum initial capital of 50% for any long position and short positions. Both the NYSE and NASD require maintenance margin of 25% for long positions and 30% for short positions.
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
