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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010732481

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Debt maturity and the liquidity of secondary debt markets

Bruche, Max; Segura, Anatoli - London School of Economics (LSE) - 2013

We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the-counter secondary debt market with search frictions. Liquidity in this market is related to the ratio of buyers to sellers, which is determined in...

Persistent link: https://www.econbiz.de/10010746682

Anticipated and repeated shocks in liquid markets

Lou, Dong - London School of Economics (LSE) - 2011

We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price pattern implies a large issuance cost for the Treasury Department, which is estimated to be between 9 and 18 basis points of the auction size. For...

Persistent link: https://www.econbiz.de/10010746704

Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006

negative and thus offer arbitrage opportunities. …

Persistent link: https://www.econbiz.de/10005526320

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...

Persistent link: https://www.econbiz.de/10005420543

A search-based theory of the on-the-run phenomenon

Vayanos, Dimitri; Weill, Pierre-Olivier - London School of Economics (LSE) - 2005

with no-arbitrage. We derive closed-form solutions for small frictions, and can generate price differentials in line with …

Persistent link: https://www.econbiz.de/10010745747

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality metric that can properly aggregate local market conditions across both securities and trading venues. Our analysis rests on a general equilibrium...

Persistent link: https://www.econbiz.de/10011171758