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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10013094725
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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Illiquidity and Under-Valuation of Firms
Gale, Douglas M. - 2012
We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...
Persistent link: https://www.econbiz.de/10013116475
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Endogenous Systemic Liquidity Risk
Cao, Jin - 2013
Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …
Persistent link: https://www.econbiz.de/10013095988
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Basel Accord and Financial Intermediation : The Impact of Policy
Berka, Martin - 2013
This paper studies loan activity in a context where banks must follow Basel Accord-type rules and acquire financing from households. Loan activity typically decreases when entrepreneurs' investment returns decline, and we study which type of policy could revigorate an economy in a trough. We...
Persistent link: https://www.econbiz.de/10013091686
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Optimal Risk-Sharing in Mortgage Contracts : The Effects of Potential Prepayment and Default
Brueckner, Jan K. - 2014
Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...
Persistent link: https://www.econbiz.de/10013046055
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Creditor Passivity : The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings
Hainz, Christa - 2021
Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information about a firm's type to its competitors. Thereby,...
Persistent link: https://www.econbiz.de/10013316824
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Rumors and Runs in Opaque Markets : Evidence from Panic of 1907
Fohlin, Caroline - 2016
impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …
Persistent link: https://www.econbiz.de/10012981593
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Risk Sharing in Defined-Contribution Funded Pension Systems
Beetsma, Roel M. W. J. - 2011
This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate welfare, as measured by equivalent variations. While...
Persistent link: https://www.econbiz.de/10013118167
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Complex Financial Networks and Systemic Risk : A Review
Bougheas, Spiros - 2014
In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...
Persistent link: https://www.econbiz.de/10013054029