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A Demand System Approach to Asset Pricing

Koijen, Ralph S. J. - 2015

We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio-choice model implies characteristics-based demand when returns have a factor structure and expected returns and factor loadings...

Persistent link: https://www.econbiz.de/10012456921

Trading Volume Alpha

Goyenko, Ruslan; Kelly, Bryan T.; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting trading costs is challenging because costs depend on trade size and trader identity, thus impeding a generic solution. We focus on a component of trading costs that applies...

Persistent link: https://www.econbiz.de/10015094879

Information Leakage from Short Sellers

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

Are Capital Inflows Expansionary or Contractionary? Theory, Policy Implications, and Some Evidence

Blanchard, Olivier - 2015

output, and the evidence appears to go their way. To reconcile theory and reality, we extend the set of assets included in …

Persistent link: https://www.econbiz.de/10012457050

Liquidity and the Threat of Fraudulent Assets

Li, Yiting - 2011

We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...

Persistent link: https://www.econbiz.de/10012461157

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

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

Agency Conflicts, Asset Substitution, and Securitization

Gan, Yingjin Hila - 2006

Asset-backed securities represent one of the largest and fastest growing financial markets. Under securitization … a whole loan. We examine how outsourcing impacts performance using data on 357 commercial mortgage-backed securities …, including conflicts between junior and senior securities holders (the asset substitution problem) and risk aversion among …

Persistent link: https://www.econbiz.de/10012466306

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