Showing 1 - 10 of 10
This paper examines intraday price discovery in three closely-related U.S. markets: stocks, Over-The-Counter (OTC) corporate bonds, and New York Stock Exchange (NYSE) electronically-traded corporate bonds. We calculate the Hasbrouck (1995) information shares of these three markets over five...
Persistent link: https://www.econbiz.de/10012917049
We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume liquidity proxy “VoV(%Spread)” for percent spread...
Persistent link: https://www.econbiz.de/10012933698
I develop a theory of optimal trading by an institutional trader who receives a parent order (i.e., an overall trading request) from a fund manager to buy a specific quantity of a particular stock over a specified time horizon. The trader selects child orders to be submitted each period over the...
Persistent link: https://www.econbiz.de/10013033129
We investigate the determinants of firms' implicit insurance to employees, using a difference-indifference approach: we rely on differences between family and non-family firms to identify the supply of insurance, and exploit variation in unemployment insurance across and within countries to...
Persistent link: https://www.econbiz.de/10011337034
We establish that the labor market helps discipline asset managers via the impact of fund liquidations on their careers. Using hand-collected data on 1,948 professionals, we find that top managers working for funds liquidated after persistently poor relative performance su er demotion coupled...
Persistent link: https://www.econbiz.de/10012900615
Corporate leverage responds differently to employees' rights in bankruptcy depending on whether it is driven by strategic concerns in wage bargaining or by credit constraints. Using novel data on employees' rights in bankruptcy, we estimate their impact on leverage, exploiting time-series,...
Persistent link: https://www.econbiz.de/10012902012
We investigate the impact of workers' exposure to unemployment risk on CEO incentive compensation. Exploiting state-level changes in unemployment benefits as a source of variation in workers' unemployment costs, we find that after unemployment insurance benefits become more generous boards...
Persistent link: https://www.econbiz.de/10012971766
If unemployment insurance is more generous, workers should demand less implicit insurance from their employers: firm- and government-provided insurance should be substitutes. Using a firm-level international panel dataset, we investigate this hypothesis exploiting cross-country and time-series...
Persistent link: https://www.econbiz.de/10012972979
Failures of banks' governance and risk management functions have been identified as key causes of the 2007-2008 financial crisis. This article reviews the empirical literature that investigates the relationship between governance structures and risk management functions as well as their impact...
Persistent link: https://www.econbiz.de/10013012356
Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. We present a model in the context of the U.S. life insurance industry in which variable annuity (VA) guarantees and associated hedging operate within the regulatory capital...
Persistent link: https://www.econbiz.de/10012853169