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Liquidity Risk and Correlation Risk : A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V. - 2008
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10012725981
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Insider Trading in Credit Derivatives
Acharya, Viral V. - 2006
paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we … report evidence of significant incremental information revelation in the credit default swap (CDS) market under circumstances … consistent with the use of non-public information by informed banks. Specifically, the information revelation occurs only for …
Persistent link: https://www.econbiz.de/10012735179
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Insider Trading in Credit Derivatives
Acharya, Viral V. - 2006
paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we … report evidence of significant incremental information revelation in the credit default swap (CDS) market under circumstances … consistent with the use of non-public information by informed banks. Specifically, the information revelation occurs only for …
Persistent link: https://www.econbiz.de/10012780002
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Limits to Arbitrage and Hedging : Evidence from Commodity Markets
Acharya, Viral V. - 2013
We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers hedging demand or speculators capital constraints increase hedging costs via price-pressure on futures....
Persistent link: https://www.econbiz.de/10012753198
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Pricing and Informational Efficiency of the Mib30 Index Options Market. An Analysis with High Frequency Data
Cassese, Gianluca - 2007
We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an efficient market. We report that a striking percentage of the data...
Persistent link: https://www.econbiz.de/10012732304
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Diamonds are Forever, Wars are Not. Is Conflict Bad for Private Firms?
Guidolin, Massimo - 2006
This paper studies the relationship between civil war and the value of firms in a poor, resource abundant country using microeconomic data for Angola. We focus on diamond mining firms and conduct an event study on the sudden end of the conflict, marked by the death of the rebel movement leader...
Persistent link: https://www.econbiz.de/10012735410
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The Economic Effects of Violent Conflict : Evidence from Asset Market Reactions
Guidolin, Massimo - 2005
This paper studies the effects of conflict onset on asset markets applying the event study methodology. We consider a sample of 112 conflicts during the period 1974-2004 and find that a sizeable fraction of them had a significant impact on stock market indices and on major commodity prices....
Persistent link: https://www.econbiz.de/10012736003
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Diamonds are Forever, Wars are Not - Is Conflict Bad for Private Firms?
La Ferrara, Eliana - 2008
This paper studies the relationship between civil war and the value of firms in a poor, resource abundant country using microeconomic data for Angola. We focus on diamond mining firms and conduct an event study on the sudden end of the conflict, marked by the death of the rebel movement leader...
Persistent link: https://www.econbiz.de/10012773585
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Endogenous Information Flows and the Clustering of Announcements
Acharya, Viral V. - 2009
We consider the release of information by a firm when the manager has discretion regarding the timing of its release …. While it is well known that firms appear to delay the release of bad news, we examine how external information about the … firm may privately receive information at a time that is random (and independent of the state of the economy). Because …
Persistent link: https://www.econbiz.de/10012720294
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More Insiders, More Insider Trading : Evidence from Private Equity Buyouts
Acharya, Viral V. - 2009
This paper studies how insider trading intensity is affected by the joint effects of competition and regulation. Prior theoretical research has found that, in the absence of regulation, more insiders leads to more insider trading. We show that optimal regulation, however, features detection and...
Persistent link: https://www.econbiz.de/10012720987