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Chague, Fernando D.; Giovannetti, Bruno; Herskovic, Bernard - National Bureau of Economic Research - 2023

Using granular data on the entire Brazilian securities lending market merged with all trades in the centralized stock … between short sellers' selling activity in the centralized exchange and borrowing activity in the over-the-counter securities … lending market. We document that brokers learn about informed directional bets by intermediating securities lending agreements …

Persistent link: https://www.econbiz.de/10014447248

Are Analyst Trade Ideas Valuable?

Birru, Justin - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012480010

On the Gains to International Trade in Risky Financial Assets

Davis, Steven J. - 2000

This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...

Persistent link: https://www.econbiz.de/10012470954

Two Monetary Tools : Interest Rates and Haircuts

Ashcraft, Adam - 2010

We study a production economy with multiple sectors financed by issuing securities to agents who face capital … tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering …

Persistent link: https://www.econbiz.de/10012462319

What Ties Return Volatilities to Price Valuations and Fundamentals?

David, Alexander - 2009

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...

Persistent link: https://www.econbiz.de/10012463086

Market Liquidity and Funding Liquidity

Brunnermeier, Markus K. - 2007

empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is …

Persistent link: https://www.econbiz.de/10012465717

Is Home Bias in Assets Related to Home Bias in Goods?

van Wincoop, Eric - 2006

Obstfeld and Rogoff (2000) have reinvigorated an old literature on the link between home bias in the goods market and home bias in the asset market by arguing that trade costs in the goods market can account for the observed portfolio home bias. The key link between home bias in the two markets...

Persistent link: https://www.econbiz.de/10012465932

Asset Prices When Agents are Marked-to-Market

Gorton, Gary - 2006

"Risk management" in securities markets refers to the oversight of portfolio managers and professional traders when …

Persistent link: https://www.econbiz.de/10012466594

Suppressing Asset Price Inflation : The Confederate Experience, 1861-1865

Weidenmier, Marc D. - 2002

Confederate monetary reforms encouraged holders of Treasury notes to exchange these notes for bonds by imposing deadlines on their convertibility. We show that Confederate funding acts aimed at precipitating the conversion of currency into bonds did temporarily suppress currency depreciation....

Persistent link: https://www.econbiz.de/10012469479

Asset Prices in the Measurement of Inflation

Bryan, Michael F. - 2002

The debate over including asset prices in the construction of an inflation statistic has attracted renewed attention in recent years. Virtually all of this (and earlier) work on incorporating asset prices into an aggregate price statistic has been motivated by a presumed, but unidentified...

Persistent link: https://www.econbiz.de/10012470015

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