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Market liquidity after the financial crisis

Adrian, Tobias; Fleming, Michael; Vogt, Erik - 2016

This paper examines market liquidity in the post-crisis era, in light of concerns that regulatory changes might have reduced banks' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including a discussion of regulations and their potential...

Persistent link: https://www.econbiz.de/10011796439

Dealer balance sheets and bond liquidity provision

Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2016

Do regulations decrease dealer incentives to intermediate trades? Using a unique data set of dealer-bond-level transactions, we construct the dealer-specific market liquidity metrics for the U. S. corporate bond market. Unlike prior studies, the transactions that we observe are uncapped in size...

Persistent link: https://www.econbiz.de/10011796446

Market liquidity after the financial crisis

Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Vogt, Erik - 2017 - Revised June 2017

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...

Persistent link: https://www.econbiz.de/10011547707

Dealer balance sheets and bond liquidity provision

Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017 - Revised March 2017

Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet constraints. We show that, prior to the financial crisis,...

Persistent link: https://www.econbiz.de/10011576274

U.S. Treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

This article examines U.S. Treasury securities market functioning from the global financial crisis (GFC) through the Covid-19 pandemic given the ensuing market developments and associated policy responses. We describe the factors that have affected intermediaries, including regulatory changes,...

Persistent link: https://www.econbiz.de/10015394095

U.S. Treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

Persistent link: https://www.econbiz.de/10015372069

Pricing TIPS and treasuries with linear regressions

Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and … Treasury and TIPS yields, in combination with a liquidity factor, generates negligibly small pricing errors for both real and …

Persistent link: https://www.econbiz.de/10010333565

Leverage asset pricing

Adrian, Tobias; Moench, Emanuel; Shin, Hyun Song - 2013

We investigate intermediary asset pricing theories empirically and find strong support for models that have …-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross … pricing models that use intermediary net worth as a state variable, and it performs well in comparison to benchmark asset …

Persistent link: https://www.econbiz.de/10010333638

Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds

Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015

they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories …

Persistent link: https://www.econbiz.de/10011340951

The cost of capital of the financial sector

Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average … returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993 … return (SPREAD). This five-factor model helps to alleviate the pricing anomalies for financial sector stocks and also …

Persistent link: https://www.econbiz.de/10011460637