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Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …

Persistent link: https://www.econbiz.de/10005123999

Arbitrage with Inelastic Liquidity Demand and Financial Constraints

Attari, Mukarram; Mello, Antonio S - C.E.P.R. Discussion Papers - 2001

This paper derives arbitrage trading strategies taking into account the fact that the actions of arbitrageurs impact prices. This avoids the difficulty of having to rely on exogenous position limits to prevent infinite arbitrage profits. When arbitrageurs are financially constrained their...

Persistent link: https://www.econbiz.de/10005136768

The Credibility of the Hungarian Exchange Rate Regime 1997-98

Szeidl, Adam - C.E.P.R. Discussion Papers - 2003

This study intends to analyse the credibility of the Hungarian exchange rate regime preceding and during the Russian stock market crisis and devaluation (in 1998). Throughout the Paper the comparison with the similar regime in Poland is stressed. The basic tool applied is a measure of market...

Persistent link: https://www.econbiz.de/10005067588

Moral Hazard, Collateral and Liquidity

Acharya, Viral V; Viswanathan, S. Vish - C.E.P.R. Discussion Papers - 2008

rationed when they attempt to borrow in order to meet liquidity shocks. The rationed firms can optimally pledge cash as …-in-the-market pricing and depends on the entire distribution of liquidity shocks in the economy. As moral hazard intensity varies … market and funding liquidity and deep discounts observed in prices during crises that follow good times. …

Persistent link: https://www.econbiz.de/10005661905

The Microstructure of the Euro Money Market

Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001

sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …

Persistent link: https://www.econbiz.de/10005123983

Does FOMC News Increase Global FX Trading?

Fischer, Andreas M; Ranaldo, Angelo - C.E.P.R. Discussion Papers - 2008

Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading...

Persistent link: https://www.econbiz.de/10005136771

Overconfidence and Trading Volume

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2003

performance trade more. Measures of miscalibration are, contrary to theory, unrelated to measures of trading volume. This result …

Persistent link: https://www.econbiz.de/10005656212

The more we know on the fundamental, the less we agree on the price

Kondor, Péter - C.E.P.R. Discussion Papers - 2011

I allow heterogenity in trading horizons across groups in a standard differential information model of a financial market. This can explain the empirical facts that after public announcements trading volume increases, more private information is incorporated into prices and volatility increases....

Persistent link: https://www.econbiz.de/10009144734

Where is the Market? Evidence from Cross-Listings

Halling, Michael; Pagano, Marco; Randl, Otto; Zechner, Josef - C.E.P.R. Discussion Papers - 2005

We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of...

Persistent link: https://www.econbiz.de/10005789007

Trading Volume and Asset Liquidity

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

inefficient equilibrium, characterized by low trading volume and low liquidity. …

Persistent link: https://www.econbiz.de/10005792361

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