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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
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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
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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
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and LSAPs
Caballero, Ricardo J. - 2020
In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems...
Persistent link: https://www.econbiz.de/10012482001
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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
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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
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Do Security Analysts Speak in Two Tongues?
Malmendier, Ulrike - 2007
Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue...
Persistent link: https://www.econbiz.de/10012465530
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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
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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
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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