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Agency Conflicts, Asset Substitution, and Securitization
Gan, Yingjin Hila - 2006
Asset-backed securities represent one of the largest and fastest growing financial markets. Under securitization … a whole loan. We examine how outsourcing impacts performance using data on 357 commercial mortgage-backed securities …, including conflicts between junior and senior securities holders (the asset substitution problem) and risk aversion among …
Persistent link: https://www.econbiz.de/10012466306
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Asset Prices When Agents are Marked-to-Market
Gorton, Gary - 2006
"Risk management" in securities markets refers to the oversight of portfolio managers and professional traders when …
Persistent link: https://www.econbiz.de/10012466594
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Regulation and Security Design in Concentrated Markets
Babus, Ana; Hachem, Kinda - National Bureau of Economic Research - 2021
security. We show that financial intermediaries design riskier securities after the exchange is introduced, even when the …
Persistent link: https://www.econbiz.de/10012533313
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On the Gains to International Trade in Risky Financial Assets
Davis, Steven J. - 2000
This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...
Persistent link: https://www.econbiz.de/10012470954
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A Disaggregated Structural Model of the Treasury Securities, Corporate Bond, and Equity Markets : Estimation and Simulation Results
Roley, V. Vance - 1980
Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities …
Persistent link: https://www.econbiz.de/10012478544
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and LSAPs
Caballero, Ricardo J. - 2020
In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems...
Persistent link: https://www.econbiz.de/10012482001
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Two Monetary Tools : Interest Rates and Haircuts
Ashcraft, Adam - 2010
We study a production economy with multiple sectors financed by issuing securities to agents who face capital … tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering …
Persistent link: https://www.econbiz.de/10012462319
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What Ties Return Volatilities to Price Valuations and Fundamentals?
David, Alexander - 2009
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...
Persistent link: https://www.econbiz.de/10012463086
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Do Security Analysts Speak in Two Tongues?
Malmendier, Ulrike - 2007
Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue...
Persistent link: https://www.econbiz.de/10012465530
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Market Liquidity and Funding Liquidity
Brunnermeier, Markus K. - 2007
empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is …
Persistent link: https://www.econbiz.de/10012465717