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Debt maturity and the liquidity of secondary debt markets

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

debt markets, and an over-the-counter secondary debt market with search frictions. Liquidity in this market is related to …

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

Information asymmetries, volatility, liquidity, and the Tobin Tax

Danilova, Albina; Julliard, Christian - London School of Economics (LSE) - 2014

sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural …

Persistent link: https://www.econbiz.de/10011170092

The lifecycle of the financial sector and other speculative industries

Biais, Bruno; Rochet, Jean-Charles; Woolley, Paul - London School of Economics (LSE) - 2009

Speculative industries exploit novel technologies subject to two risks. First, there is uncertainty about the fundamental value of the innovation: is it strong or fragile? Second, it is difficult to monitor managers, which creates moral hazard. Because of moral hazard, managers earn agency rents...

Persistent link: https://www.econbiz.de/10010744809

Endogenous state prices, liquidity, default, and the yield curve

Espinoza, Raphael A.; Goodhart, Charles; Tsomocos, … - London School of Economics (LSE) - 2007

We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in … a complete markets general equilibrium are a function of the supply of liquidity by the Central Bank. Our model is … liquidity. The upshot of our argument is that agents’ expectations computed using risk-neutral probabilities give more weight in …

Persistent link: https://www.econbiz.de/10010745061

Portfolio choice beyond the traditional approach

Penaranda, Francisco - London School of Economics (LSE) - 2007

corresponding equilibrium implications in terms of portfolio advice and asset pricing. …

Persistent link: https://www.econbiz.de/10010745189

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

Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

different multimoment approximate option pricing models. We first recall the link between the riskneutral density and moments in … several four-moment approximate option pricing models, namely, the Jarrow and Rudd (1982), Corrado and Su (1996-b and 1997-b … restriction (see Longstaff, 1995) and consequently revisit the approximate option pricing models under study. We also get for …

Persistent link: https://www.econbiz.de/10010745304

Central banks and financial crises

Buiter, Willem H. - London School of Economics (LSE) - 2008

The paper draws lessons from the experience of the past year for the conduct of central banks in the pursuit of macroeconomic and financial stability. Macroeconomic stability is defined as either price stability or as price stability and sustainable output or employment growth. Financial...

Persistent link: https://www.econbiz.de/10010745389

Attracting investor attention through advertising

Lou, Dong - London School of Economics (LSE) - 2013

This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is...

Persistent link: https://www.econbiz.de/10010745567