01791cas a2200253 a 4500 AALejournalIMF007368 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451935912 1018-5941 BD-DhAAL BD-DhAAL Kaune Moreno, Federico. The Brady-Euro Yield Differential Debate : Why Arbitrage is Infeasible / Federico Kaune Moreno, Elaine Buckberg. Washington, D.C. : International Monetary Fund, 1996. 1 online resource (26 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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?. Mode of access: Internet Buckberg, Elaine. IMF Working Papers; Working Paper ; No. 1996/127 Full text available on IMF http://elibrary.imf.org/view/journals/001/1996/127/001.1996.issue-127-en.xml IMF e-Library