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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
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
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
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
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
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
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
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
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
"Risk management" in securities markets refers to the oversight of portfolio managers and professional traders when …
Persistent link: https://www.econbiz.de/10012466594