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Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...

Persistent link: https://www.econbiz.de/10009009543

Flights to Safety

Baele, Lieven - 2014

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Persistent link: https://www.econbiz.de/10013051878

The sovereign debt crisis : rebalancing or freezes?

Östberg, Peter; Richter, Thomas - 2018

Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...

Persistent link: https://www.econbiz.de/10011865537

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

Exchange traded funds (ETFs)

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017

Over two decades, ETFs have become one of the most popular investment vehicle among retail and professional investors due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as mutual funds and index futures. Research has shown that in...

Persistent link: https://www.econbiz.de/10011620013

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

Collateral booms and information depletion

Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

Persistent link: https://www.econbiz.de/10011997468

Forecasting financial crashes : a dynamic risk management approach

Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020

further detail. Our conclusion is that unsustainable price dynamics leading to an unstable bubble, fuelled by quantitative … predictable to some degree based on the endogenous price dynamics. Following the crash, a fast recovery of the price to pre …

Persistent link: https://www.econbiz.de/10012419688

Does it pay to have the euro? : Italy's politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - 2009

There is a broad consensus that the quality of the political system and its institutions are fundamental for a country's prosperity. The paper focuses on political events in Italy over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy's financial...

Persistent link: https://www.econbiz.de/10003867036