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industries, but in a manner consistent with the predictions of the standard capital asset pricing model. Applying the methods of …
Persistent link: https://www.econbiz.de/10001909010
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10001936329
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one … collection of mean-variance efficient factor portfolios that satisfies the linear relation. -- arbitrage ; asset pricing model …
Persistent link: https://www.econbiz.de/10003085740
asymmetric information and non-Gaussian priors. -- asset pricing ; learning ; asymmetric information ; limits to arbitrage …
Persistent link: https://www.econbiz.de/10002101431
We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average...
Persistent link: https://www.econbiz.de/10002101478
We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...
Persistent link: https://www.econbiz.de/10014393396
This paper evaluates the salient forces behind a dealer-intermediary's decision to move a bilateral repo transaction with a customer into central clearing. We provide evidence that dealers turn to sponsored repo on occasions when balance sheet space is scarce, such as when there is a large...
Persistent link: https://www.econbiz.de/10015163715
the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the …
Persistent link: https://www.econbiz.de/10013161874
As the economic disruptions associated with the COVID-19 pandemic increased in March 2020, there was a global dash-for-cash by investors. This selling pressure occurred across advanced sovereign bond markets and caused a deterioration in market functioning, leading to central bank interventions....
Persistent link: https://www.econbiz.de/10013162110
Most mortgages in the United States are securitized through the agency mortgage-backedsecurities (MBS) market. These securities are generally traded on a “to-be-announced,” or TBA, basis. This trading convention significantly improves agency MBS liquidity, leading to lower borrowing costs...
Persistent link: https://www.econbiz.de/10008657185