Showing 131 - 137 of 137
The Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in...
Persistent link: https://www.econbiz.de/10012597740
We investigate the trading of corporate bonds on alternative trading system (ATS) platforms. We draw a key distinction between request-for-quote (RFQ) and electronic communication network (ECN) trading protocols, which balance investors' preference for immediacy and anonymity. Trades on ATS...
Persistent link: https://www.econbiz.de/10012257056
We examine how professional traders behave in two financial market experiments; we contrast professional traders' behavior to that of undergraduate students, the typical experimental subject pool. In our first experiment, both sets of participants trade an asset over multiple periods after...
Persistent link: https://www.econbiz.de/10012259899
This study analyzes the effects of institutional and strategic investor equity transactions on the behavior of stock prices on the Copenhagen Stock Exchange (XCSE). Unlike the positive relationship between managerial ownership and security performance, we find that the relationship between...
Persistent link: https://www.econbiz.de/10012772202
Two activists with correlated private positions in a firm's stock, trade sequentially before simultaneously exerting effort that determines the firm's value. We document the existence of a novel linear equilibrium in which an activist's trades have positive sensitivity to her block size, but...
Persistent link: https://www.econbiz.de/10013363647
We examine how investors' perception of bank balance sheet risk evolved before and during the March-April 2023 bank run. To do so, we estimate the covariance ("beta") of bank excess stock returns with returns on factors constructed from long-short portfolios sorted on shares of uninsured...
Persistent link: https://www.econbiz.de/10014519046
We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...
Persistent link: https://www.econbiz.de/10011342852