Similar Search Results

Lessons from the 2007 Financial Crisis

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2007

England’s liquidity management, regulatory failure of the FSA, an inadequate deposit insurance arrangement and deficient …

Persistent link: https://www.econbiz.de/10005791213

Liquidity Risk, Leverage and Long-Run IPO Returns

Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ‘longshots’, as...

Persistent link: https://www.econbiz.de/10005124287

Limit Order Book as a Market for Liquidity

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2001

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ in their impatience: less patient traders demand liquidity, more patient traders...

Persistent link: https://www.econbiz.de/10005114215

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - C.E.P.R. Discussion Papers - 2003

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...

Persistent link: https://www.econbiz.de/10005666673

Predatory Trading

Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004

This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10005791996

The Broad Yen Carry Trade

Hattori, Masazumi; Shin, Hyun Song - Institute for Monetary and Economic Studies, Bank of Japan - 2007

Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency...

Persistent link: https://www.econbiz.de/10004975764

Securitization, Transparency and Liquidity

Pagano, Marco; Volpin, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2008

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social...

Persistent link: https://www.econbiz.de/10005087538

Securitization, Transparency and Liquidity

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2008

Persistent link: https://www.econbiz.de/10005504512

Good Securitization, Bad Securitization

Plantin, Guillaume - Institute for Monetary and Economic Studies, Bank of Japan - 2011

I use a simple banking model to study the circumstances under which excessive and inefficient securitization may occur …. I first stress that increasing securitization rates that reduce banks' incentives to screen borrowers and thus lead to … the informational efficiency of the securitization market, then there is room for excessive securitization. The model …

Persistent link: https://www.econbiz.de/10008837594

Credit Ratings Failures and Policy Options

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2009

This paper examines the role of credit rating agencies in the subprime crisis that triggered the 2007-08 financial turmoil. The focus of the paper is on two aspects of ratings that contributed to the boom and bust of the market for asset-backed securities: rating inflation and coarse information...

Persistent link: https://www.econbiz.de/10008558591