Similar Search Results

Information and liquidity of OTC securities : evidence from public registration of Rule 144A bonds

Han, Song; Huang, Alan Guoming; Madhu, Kalimipalli,; … - 2018 - This version: June, 2018

the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using …, dealer-specific effective bid-ask spreads narrow, especially for issues with higher ex-ante information asymmetry. Our … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …

Persistent link: https://www.econbiz.de/10012016179

Institutional herding and its price impact : evidence from the corporate bond market

Cai, Fang; Han, Song; Li, Dan; Li, Yi - 2016

Among growing concerns about potential financial stability risks posed by the asset management industry, herding has been considered as an important risk amplification channel. In this paper, we examine the extent to which institutional investors herd in their trading of U.S. corporate bonds and...

Persistent link: https://www.econbiz.de/10011578934

Are Longer Bankruptcies Really More Costly?

Covitz, Daniel M. - 2008

We test the widely held assumption that longer restructurings are more costly. In contrast to earlier studies, we use instrumental variables to control for the endogeneity of restructuring time and creditor return. Instrumenting proves critical to our finding that creditor recovery rates...

Persistent link: https://www.econbiz.de/10012727157

Discriminatory pricing of over-the-counter derivatives

Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2017

For the first time, new regulatory data allow precise measurement of price discrimination against non-financial clients in the FX derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays...

Persistent link: https://www.econbiz.de/10011875673

Real effects of stock underpricing

Hau, Harald; Lai, Sandy - 2012 - May 28, 2012

This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007--2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...

Persistent link: https://www.econbiz.de/10009554205

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

to strengthen the statistical evidence on the predicted shortrun exchange rate dynamics. Cross-sectional currency hedging …

Persistent link: https://www.econbiz.de/10009558406

Dealer intermediation between markets

Dunne, Peter G.; Hau, Harald; Moore, Michael J. - 2012

We develop a dynamic model of dealer intermediation between a monopolistic customerdealer (B2C) market and a competitive inter-dealer (B2B) market. Dealers face inventory constraints and adverse selection. We characterize the optimal quote setting and inventory management behavior for both...

Persistent link: https://www.econbiz.de/10009624581

The role of equity funds in the financial crisis propagation

Hau, Harald; Lai, Sandy - 2011

The early stage of the recent ?financial crisis was marked by large value losses for bank stocks. This paper identifies the equity funds most affected by this valuation shock and examines its consequences for the non-financial stocks owned by the respective funds. We find that (i) ownership...

Persistent link: https://www.econbiz.de/10009313028

The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market

Han, Song; Dan, Li - 2011

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday...

Persistent link: https://www.econbiz.de/10014179447

Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos

Han, Song - 2016

We use a new panel data set on intraday transactions of triparty repos (TPR) to study trading relationships in the over-the-counter market. We test the prediction that search frictions lead to relationship formation. We find that TPR trading parties form relationships with a broad number of...

Persistent link: https://www.econbiz.de/10013210433