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Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

Persistent link: https://www.econbiz.de/10005130211

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

Persistent link: https://www.econbiz.de/10005130216

Do Heterogeneous Beliefs Matter for Asset Pricing?

Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...

Persistent link: https://www.econbiz.de/10005342284

Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Media Frenzies in Markets for Financial Information

Veldkamp, Laura - Econometric Society - 2004

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...

Persistent link: https://www.econbiz.de/10005063589

Estimation of Credit and Default Spreads: An Application to CDO Valuation

Noh, Jaesun - Econometric Society - 2004

Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...

Persistent link: https://www.econbiz.de/10005342295

High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market

Tyurin, Konstantin - Econometric Society - 2004

The paper applies a popular methodology of competing risks to the analysis of the timing and interaction between the Deutsche Mark/U.S. dollar transactions, quotes, and cancellations in the Reuters D2000-2 electronic brokerage system. Consistently with previous stock market studies, the bid-ask...

Persistent link: https://www.econbiz.de/10005342260

Understanding limit order book depth: conditioning on trade informativeness

Beltran, Helena; Menkveld, Albert J. - Econometric Society - 2004

-trade durations at times of relatively uninformative market orders, which is consistent with liquidity traders concentrating their …

Persistent link: https://www.econbiz.de/10005699633

Endogenous Credit Constraints and Factor Market Rigidities: the case of Bankruptcy

Fischer, R.; Bonilla, C. - Econometric Society - 2004

We develop a simple analytical model that highlights the effect of factor rigidities and credit constraints on bankruptcies. In our model, entrepreneurs receive random shocks â€“positive or negative-- to their working capital, which is needed to pay workers before the output of the firm is...

Persistent link: https://www.econbiz.de/10005328875

Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies

Schmukler, Sergio L.; Levy-Yeyati, Eduardo; Peria, … - Econometric Society - 2004

This paper shows that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions...

Persistent link: https://www.econbiz.de/10005328877

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