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Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Kramer, Charles Frederick - 1994

The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a...

Persistent link: https://www.econbiz.de/10014397789

Investment Banking and Security Market Development : Does Finance Follow Industry?

Anand, Bharat Narendra - 2001

Long-term relationships between business firms and investment banks are pervasive in developed security markets and there is evidence that better monitoring and information result from these relationships. Therefore, security markets should allocate resources better when an investment banking...

Persistent link: https://www.econbiz.de/10014401296

Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices

Medina Guzman, Juan Pablo - 2007

This paper studies optimal monetary policy in a two-sector small open economy model under segmented asset markets and sticky prices. We solve the Ramsey problem under full commitment, and characterize the optimal monetary policy in a calibrated version of the model. The findings of the paper are...

Persistent link: https://www.econbiz.de/10014399992

The Information Content of Prices in Derivative Security Markets

Scott, Louis O. - 1991

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used...

Persistent link: https://www.econbiz.de/10014395868

The COVID-19 impact on corporate leverage and financial fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...

Persistent link: https://www.econbiz.de/10012796218

Constrained efficient borrowing with sovereign default risk

Hatchondo, Juan Carlos; Martinez, Leonardo; Roch, Francisco - 2020

Persistent link: https://www.econbiz.de/10012392477

Cross-border credit intermediation and domestic liquidity provision in a small open economy

Thorvardur Tjörvi Ólafsson - 2018

This paper develops a small open economy model where global and domestic liquidity is intermediated to the corporate … to entrepreneurs and commercial banks intermediate domestic savings to liquidity constrained final good producers. Both … dynamics, global liquidity spillovers, domestic money market pressures, and macrofinancial linkages through which shocks …

Persistent link: https://www.econbiz.de/10011932538

Liquidity choice and misallocation of credit

Ebrahimy, Ehsan - 2019

This paper studies a novel type of misallocation of credit between investments of varying liquidity. One type of …-term welfare and output in a constrained inefficient equilibrium if it raises the liquidity of the liquid type. I show a maximum …

Persistent link: https://www.econbiz.de/10012155067

Structuring and Restructuring Sovereign Debt : The Role of a Bankruptcy Regime

Bolton, Patrick - 2007

In an environment characterized by weak contractual enforcement, sovereign lenders can enhance the likelihood of repayment by making their claims more difficult to restructure ex post. We show however, that competition for repayment among lenders may result in a sovereign debt that is...

Persistent link: https://www.econbiz.de/10014400323

Capital Flows and the Twin Crises : The Role of Liquidity

Goldfajn, Ilan - 1997

This paper develops a model that focuses on the interaction of liquidity creation by financial intermediaries with …

Persistent link: https://www.econbiz.de/10014400378

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