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Interdealer Price Dispersion and Intermediary Capacity
Eisfeldt, Andrea L.; Herskovic, Bernard; Liu, Shuo - National Bureau of Economic Research - 2024
Intermediation capacity varies across dealers, and as a result, misallocation of credit risk reduces the risk …
Persistent link: https://www.econbiz.de/10015072939
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Market Liquidity and Funding Liquidity
Brunnermeier, Markus K. - 2007
We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders …' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to … are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and …
Persistent link: https://www.econbiz.de/10012465717
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Competing for Order Flow in OTC Markets
Lester, Benjamin - 2014
We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades-- which can include prices, quantities, and execution speed--and investors direct their orders...
Persistent link: https://www.econbiz.de/10012458057
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Day Traders, Noise, and Cost of Immediacy
Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023
market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and … activity. This pattern is consistent with competition among PDT. Our results highlight the importance of IDT's presence in …
Persistent link: https://www.econbiz.de/10014250145
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Creditor-on-Creditor Violence and Secured Debt Dynamics
Antill, Samuel; Wang, Neng; Jiang, Zhaoli - National Bureau of Economic Research - 2024
Secured lenders have recently demanded a new condition in distressed debt restructurings: competing secured lenders must lose priority. We model the implications of this "creditor-on-creditor violence" trend. In our dynamic model, secured lenders enjoy higher priority in default. However,...
Persistent link: https://www.econbiz.de/10015056182
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Pandemic-Era Uncertainty
Meyer, Brent H.; Mihaylov, Emil; Barrero, Jose Maria; … - National Bureau of Economic Research - 2022
We examine several measures of uncertainty to make five points. First, equity market traders and executives at nonfinancial firms have shared similar assessments about one-year-ahead uncertainty since the pandemic struck. Both the one-year VIX and our survey-based measure of firm-level...
Persistent link: https://www.econbiz.de/10013191053
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Payment for Order Flow And Asset Choice
Ernst, Thomas; Spatt, Chester S. - National Bureau of Economic Research - 2022
The paper documents important differences in payment for order flow (PFOF), spreads, and price improvement across asset classes. In stocks, we show that PFOF is small. While many retail trades are executed off-exchange, we find that they receive meaningful price improvement, particularly when...
Persistent link: https://www.econbiz.de/10013172182
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Intermediaries in the U.S. Market for Technology, 1870-1920
Lamoreaux, Naomi R. - 2002
We argue that the emergence of a well-developed market for patented technologies over the late nineteenth and early twentieth centuries facilitated the emergence of a group of highly specialized and productive inventors by making it possible for them to transfer to others responsibility for...
Persistent link: https://www.econbiz.de/10012469696
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Fund Flows and Income Risk of Fund Managers
Cen, Xiao; Dou, Winston Wei; Kogan, Leonid; Wu, Wei - National Bureau of Economic Research - 2023
Investment fund managers make asset allocation decisions on behalf of a significant segment of US households. To elucidate the incentives they operate under, as well as the income and career risks they face, we construct a unique and novel dataset, which encompasses detailed information on the...
Persistent link: https://www.econbiz.de/10014447307
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Macroeconomic implications of the beliefs and behavior of foreign exchange traders
Cheung, Yin-Wong (contributor);  … - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001511630