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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012064309
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Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010501846
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
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Market Liquidity and Competition among Designated Market Makers
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2023
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? We employ data from … spreads. In particular, market liquidity increases the most for stocks with the largest increase in competition among DMMs …
Persistent link: https://www.econbiz.de/10014351548
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Financing asset growth
Brennan, Michael J.; Kraft, Holger - 2013
In this paper we provide new evidence that corporate financing decisions are associated with managerial incentives to report high equity earnings. Managers rely most heavily on debt to finance their asset growth when their future earnings prospects are poor, when they are under pressure due to...
Persistent link: https://www.econbiz.de/10010327802
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Leaning against the wind: Debt financing in the face of adversity
Brennan, Michael J.; Kraft, Holger - 2016
We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider three possible explanations: market timing, precautionary financing, and...
Persistent link: https://www.econbiz.de/10012064286
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Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017
-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …
Persistent link: https://www.econbiz.de/10012064291
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Coming early to the party
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti; … - 2017
others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …
Persistent link: https://www.econbiz.de/10011723732
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Designated Market Makers: Competition and Incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2020
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from the … small changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our analysis shows … that incentivizing DMMs might not necessary lead to an improvement of market liquidity unless exchanges induce greater …
Persistent link: https://www.econbiz.de/10012302578
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Recovery from fast crashes: Role of mutual funds
Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; … - 2021
Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is …-capitalized standby liquidity providers for recovery from fast crashes. …
Persistent link: https://www.econbiz.de/10012432760