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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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Spoilt for choice: Order routing decisions in fragmented equity markets
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and …
Persistent link: https://www.econbiz.de/10011533724
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Spoilt for choice : order routing decisions in fragmented equity markets
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016 - This draft: August 2016
design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and …
Persistent link: https://www.econbiz.de/10011533420
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OTC discount
de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; … - 2021
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...
Persistent link: https://www.econbiz.de/10012648563
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OTC Discount
de Roure, Calebe; Moench, Emanuel; Pelizzon, Loriana; … - 2021
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast ma- jority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...
Persistent link: https://www.econbiz.de/10013348184
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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