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Segmented Arbitrage
Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...
Persistent link: https://www.econbiz.de/10013435123
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The Value of Ratings : Evidence from their Introduction in Securities Markets
Bernstein, Asaf; Frydman, Carola; Hilt, Eric - National Bureau of Economic Research - 2023
find that lower than market-implied ratings caused a rise in secondary market bond yields. Using an instrumental …
Persistent link: https://www.econbiz.de/10014247986
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Quantitative Tightening with Slow-Moving Capital
Jiang, Zhengyang; Sun, Jialu - National Bureau of Economic Research - 2024
portfolios at different speeds. To understand its implications for bond valuation, we develop a general equilibrium model which … model predicts a novel overshooting pattern: when the central bank unwinds its bond purchase, slow adjustment by long …-term investors requires liquidity traders to absorb the imbalance, who demand a higher risk premium that creates excessive bond price …
Persistent link: https://www.econbiz.de/10014635720
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Analyst Bias and Mispricing
Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023
Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the...
Persistent link: https://www.econbiz.de/10014248012
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Do Sell-Side Analysts Say "Buy" While Whispering "Sell"?
Hirshleifer, David; Shi, Yushui; Wu, Weili - National Bureau of Economic Research - 2022
We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We...
Persistent link: https://www.econbiz.de/10013210060
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Finance in a Time of Disruptive Growth
Garleanu, Nicolae; Panageas, Stauros - National Bureau of Economic Research - 2024
We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset classes (private equity, real estate, etc.). The model features disruption of old by young firms and skewness in the distribution of innovative rents among the young innovators. The...
Persistent link: https://www.econbiz.de/10014512038
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Information Leakage from Short Sellers
Chague, Fernando D.; Giovannetti, Bruno; Herskovic, Bernard - National Bureau of Economic Research - 2023
Using granular data on the entire Brazilian securities lending market merged with all trades in the centralized stock exchange, we identify information leakage from short sellers. Our identification strategy explores trading execution mismatches between short sellers' selling activity in the...
Persistent link: https://www.econbiz.de/10014447248
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Stock and Bond Pricing in an Affine Economy
Bekaert, Geert - 1999
This article provides a stochastic valuation framework for bond and stock returns that builds on three different …
Persistent link: https://www.econbiz.de/10012471438
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Health Care Capital Financing Agencies : The Intergovernmental Roles of Quasi-Government Authorities and the Impact on the Cost of Capital
Gershberg, Alec Ian - 1999
During the decade 1983-1992, approximately 1.4 trillion dollars of municipal bonds were sold in 87 thousand separate issues, primarily to finance capital projects for education, electric power, transportation, health care, housing and other public and private purpose activities. Approximately...
Persistent link: https://www.econbiz.de/10012471568
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The Real Explanation of Nominal Bond-Stock Puzzles
Chernov, Mikhail; Lochstoer, Lars A.; Song, Dongho - National Bureau of Economic Research - 2021
implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …
Persistent link: https://www.econbiz.de/10012599375