SSRNTrading, Microstructure & Execution
Settlement Risk and Currency Markets
Hungary's 2015 adoption of payment-versus-payment settlement reduced currency excess returns by ten basis points, demonstrating settlement risk is a priced friction limiting arbitrage.
Featured in No. 132 on 25 Sep 2026 · 1 day after release
- Released
- 24 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7201787
- Authors
- Seungduck Lee et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).