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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
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10005123999
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Investors' horizons and the Amplification of Market Shocks
Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010
After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...
Persistent link: https://www.econbiz.de/10008683532
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Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015
-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital … regulations, alter financial institutions’ trading behavior. The insurance industry provides a natural laboratory to explore these … interactions since significant differences exist in regulatory accounting rules: (1) life insurers have greater flexibility to hold …
Persistent link: https://www.econbiz.de/10011186617
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Insider Trading in the Bond Market: Evidence from Loan Sale Events
Massa, Massimo; Schmidt, Daniel - C.E.P.R. Discussion Papers - 2015
We investigate the pricing implications of the parallel trading of loans and bonds of the same firm. We show that loan, by making lenders share sensitive information about the borrower with the loan market participants, lower the information advantage of the asset managers affiliated to the...
Persistent link: https://www.econbiz.de/10011186624
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Buffett’s Alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10011083650
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Endogenous Information Flows and the Clustering of Announcements
Acharya, Viral V; DeMarzo, Peter; Kremer, Ilan - C.E.P.R. Discussion Papers - 2011
We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don’t know whether or when the firm is informed, the firm will not necessarily disclose immediately. We show that bad market news can trigger the immediate release of information by firms....
Persistent link: https://www.econbiz.de/10009364996
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Macroinsurance for Microenterprises: A Randomized Experiment in Post-Revolution Egypt
McKenzie, David - C.E.P.R. Discussion Papers - 2014
macroeconomic and political uncertainty. Demand for macroeconomic shock insurance was high; 36.7 percent of microentrepreneurs in … the treatment group purchased insurance. However, purchasing insurance does not change the likelihood that a business … microenterprises. However, insurance may still be of value to them to help cope with shocks when they do occur, but we are unable to …
Persistent link: https://www.econbiz.de/10011084029
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Genetic Tests and Intertemporal Screening in Competitive Insurance Markets
Emons, Winand - C.E.P.R. Discussion Papers - 2007
We consider successive generations of non-altruistic individuals carrying a good or bad gene. Daughters are more likely to carry their mother's gene than the opposite one. Competitive insurers can perform a genetic test revealing an agent's gene. They may condition their quotes on the agent's or...
Persistent link: https://www.econbiz.de/10005661858
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Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe
Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015
pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … heterogeneous individuals. Moreover, unlike variable annuities, PPRs allow investment risks to be combined with longevity insurance …. The unbundling of functions in the PPR also deepens the internal markets for financial and insurance products while at the …
Persistent link: https://www.econbiz.de/10011252616
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Credit Risk Transfer and Financial Sector Performance
Marsh, Ian W; Wagner, Wolf - C.E.P.R. Discussion Papers - 2004
regulatory standards that reflect differences in the social cost of instability in the banking and insurance sector; and …
Persistent link: https://www.econbiz.de/10005662362