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Measuring the liquidity profile of mutual funds
Aramonte, Sirio; Scotti, Chiara; Zer, Ilknur - 2019
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate … liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises … that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, like those …
Persistent link: https://www.econbiz.de/10012181929
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Arbitrage and liquidity : evidence from a panel of exchange traded funds
Rappoport, David E.; Tuzun, Tugkan - 2020
Persistent link: https://www.econbiz.de/10012389833
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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Central clearing and systemic liquidity risk
King, Thomas B.; Nesmith, Travis D.; Paulson, Anna Louise; … - 2020
Persistent link: https://www.econbiz.de/10012388264
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Private and public liquidity provision in over-the-counter markets
Arseneau, David M.; Rappoport, David E.; Vardoulakis, … - 2017
Persistent link: https://www.econbiz.de/10011708649
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Investor demands for safety, bank capital, and liquidity measurement
Passmore, Stuart Wayne; Temesvary, Judit - 2020
Persistent link: https://www.econbiz.de/10012389457
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Effects of liquidity on the nondefault component of corporate yield spreads : evidence from intraday transactions data
Han, Song; Zhou, Hao - 2008
Persistent link: https://www.econbiz.de/10003830181
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Securities lending as wholesale funding : evidence from the U.S. life insurance industry
Foley-Fisher, Nathan; Narajabad, Borghan; Verani, Stephane - 2016
portfolio of long-dated assets. We discuss how the liquidity and maturity mismatch associated with using securities lending as a …
Persistent link: https://www.econbiz.de/10011500420
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Liquidity in the mortgage market : how does the COVID-19 crisis compare with the global financial crisis?
Pence, Karen M. - 2022
Persistent link: https://www.econbiz.de/10013413220
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Dealers' insurance, market structure, and liquidity
Carapella, Francesca; Monnet, Cyril - 2017
We develop a parsimonious model to study the equilibrium structure of financial markets and its efficiency properties. We find that regulations aimed at improving market outcomes can cause inefficiencies. The welfare benefit of such regulation stems from endogenously improving market access for...
Persistent link: https://www.econbiz.de/10011803686