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Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...
Persistent link: https://www.econbiz.de/10010617611
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices … thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study …
Persistent link: https://www.econbiz.de/10010906189
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …
Persistent link: https://www.econbiz.de/10011076295
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank …-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …
Persistent link: https://www.econbiz.de/10011039213
less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up …We analyze liquidity components of corporate bond spreads during 2005–2009 using a new robust illiquidity measure. The … persistent for investment grade bonds while the effect is stronger but more short-lived for speculative grade bonds. Bonds become …
Persistent link: https://www.econbiz.de/10011039223
structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank … in the first half of the sample period and is correlated with measures of funding and market liquidity. The model also … provides a framework for pricing, hedging, and risk management of interest rate swaps in the presence of significant basis risk. …
Persistent link: https://www.econbiz.de/10011039231
improvement in liquidity and trading activity. …
Persistent link: https://www.econbiz.de/10010752915
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …
Persistent link: https://www.econbiz.de/10010617605
on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit …We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide …
Persistent link: https://www.econbiz.de/10010571651
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …
Persistent link: https://www.econbiz.de/10010571656