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Reputation effects in trading on the New York Stock Exchange

Battalio, Robert; Ellul, Andrew; Jennings, Robert - London School of Economics (LSE) - 2005

Theory suggests that reputations, developed in repeated face-to-face interactions, allow nonanonymous, floor-based trading venues to attenuate adverse selection in the trading process. We identify instances when stocks listed on the New York Stock Exchange (NYSE) experience a non-trivial...

Persistent link: https://www.econbiz.de/10010884510

Reforming securities and derivatives trading in the EU: from EMIR to MiFIR

Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2013

The financial crisis has generated a deep revision of the regulation of securities and derivatives markets. In this … paper, we critically examine the extent to which current reforms, such as the European Market Infrastructure Regulation and … the proposed new Markets in Financial Instruments Directive and Regulation, will expand "public" securities and …

Persistent link: https://www.econbiz.de/10011126127

Credit rating agencies and the sovereign debt crisis: performing the politics of creditworthiness through risk and uncertainty

Paudyn, Bartholomew - London School of Economics (LSE) - 2013

As member states struggle to retain the investment grades necessary to allow them to finance their governmental operations at a reasonable cost, credit rating agencies (CRAs) have been blamed for exacerbating a procyclical bias which only makes this task more difficult. How CRAs contribute to...

Persistent link: https://www.econbiz.de/10011126131

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...

Persistent link: https://www.econbiz.de/10010884503

Transactionalizing technologies versus performing contracts: from ERP to credit default swaps at AIG

Scott, Susan V.; Paris, Carolyn - London School of Economics (LSE) - 2009

Persistent link: https://www.econbiz.de/10010744933

Diversification and delegation in firms

Cerasi, Vittoria; Daltung, Sonja - London School of Economics (LSE) - 2002

This paper shows how separation of ownership and control may arise as a response to overload costs, despite agency costs, and how conglomerates arise as solution to information asymmetries in capital markets. In a context where entrepreneurs have the ability to run projects and improve their...

Persistent link: https://www.econbiz.de/10010745110

Loan securitisation: default term structure and asset pricing based on loss prioritisation

Jobst, Andreas A. - London School of Economics (LSE) - 2002

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

Persistent link: https://www.econbiz.de/10010745131

On time-scaling of risk and the square–root–of–time rule

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2003

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though only correct when returns are iid normal, is the square–root–of–time rule where an estimated quantile of a return distribution is scaled to a...

Persistent link: https://www.econbiz.de/10010745168

Innovation and institutional ownership

Aghion, Philippe; Van Reenen, John; Zingales, Luigi - London School of Economics (LSE) - 2009

We find that institutional ownership in publicly traded companies is associated with more innovation (measured by cite-weighted patents). To explore the mechanism through which this link arises, we build a model that nests the lazy-manager hypothesis with career-concerns, where institutional...

Persistent link: https://www.econbiz.de/10010745303

A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...

Persistent link: https://www.econbiz.de/10010745443