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Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...

Persistent link: https://www.econbiz.de/10011803199

Risk-neutral systemic risk indicators

Malz, Allan Martin - 2013

index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The …

Persistent link: https://www.econbiz.de/10009725591

No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

Persistent link: https://www.econbiz.de/10009679505

Tractable rare disaster probability and options-pricing

Barro, Robert J.; Liao, Gordon Y. - 2019

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …

Persistent link: https://www.econbiz.de/10012182396

The overnight drift

Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021

We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...

Persistent link: https://www.econbiz.de/10012170744

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017

We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...

Persistent link: https://www.econbiz.de/10011709342

CoVaR

Adrian, Tobias (contributor); … - 2008

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...

Persistent link: https://www.econbiz.de/10003781783

Credit scores, social capital, and stock market participation

Bricker, Jesse; Li, Geng - 2017

While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present...

Persistent link: https://www.econbiz.de/10011708125

The long and short of it : the post-crisis corporate CDS market

Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2019

The 2007-09 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market...

Persistent link: https://www.econbiz.de/10011975486

Runs and flights to safety : are stablecoins the new money market funds?

Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; … - 2023

Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to...

Persistent link: https://www.econbiz.de/10014391283