Similar Search Results

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Persistent link: https://www.econbiz.de/10011740280

Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market

Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354

Persistent link: https://www.econbiz.de/10014470002

Price improvement and execution risk in lit and dark markets

Brolley, Michael - In: Management science : journal of the Institute for … 66 (2020) 2, pp. 863-886

Persistent link: https://www.econbiz.de/10012213246

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

What are the real effects of financial market liquidity? : evidence on bank lending from the euro area

Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …

Persistent link: https://www.econbiz.de/10011897986

Trading under market impact : crossing networks interacting with dealer markets

Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago - 2017

We use a model with agency frictions to analyze the structure of a dealer market that faces competition from a crossing …

Persistent link: https://www.econbiz.de/10011705180

The price impact of CDS trading

Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

Persistent link: https://www.econbiz.de/10009751104

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …

Persistent link: https://www.econbiz.de/10011587096

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

Persistent link: https://www.econbiz.de/10011483067

Optimal trade execution under endogenous order flow

Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023

We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...

Persistent link: https://www.econbiz.de/10014476807