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Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...
Persistent link: https://www.econbiz.de/10010519950
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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10003824684
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Price discovery and trade fragmentation in a multi-market environment : evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
; liquidity ; MTS system …
Persistent link: https://www.econbiz.de/10009240010
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Self-fulfilling crises in the Eurozone : an empirical test
De Grauwe, Paul; Ji, Yuemei - 2012
-fulfilling liquidity crises than in stand-alone countries. We find evidence that a significant part of the surge in the spreads of the PIGS …
Persistent link: https://www.econbiz.de/10009540108
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Wars and markets : how bond values reflect World War II
Frey, Bruno S.; Kucher, Marcel - 1999
Historical events are reflected in asset prices. In this paper, we analyse government bond prices of Germany and Austria traded on the Swiss bourse during WWII. Some war events that are generally considered crucial are clearly reflected in government bond prices. This holds, in particular, for...
Persistent link: https://www.econbiz.de/10009781716
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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...
Persistent link: https://www.econbiz.de/10014234020
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Debt recovery in firm liquidations : do liquidation trustees matter?
Cepec, Jaka; Grajzl, Peter; Zajc, Katarina - 2016
Insolvency systems play a crucial role in protection of creditor rights, yet micro-level empirical evidence on the functioning of insolvency regimes worldwide is sparse. We investigate whether creditors' recovery of outstanding claims, a measure of ex-post efficiency of an insolvency regime,...
Persistent link: https://www.econbiz.de/10011518156
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Rumors and runs in opaque markets : evidence from the panic of 1907
Fohlin, Caroline; Gehrig, Thomas P.; Haas, Marlene - 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/10011522131
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Illiquidity and under-valuation of firms
Gale, Douglas; Gottardi, Piero - 2009
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/10003923631
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Asset auctions, information, and liquidity
Vives, Xavier - 2010
A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...
Persistent link: https://www.econbiz.de/10003923763