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Insider Trading in the Bond Market: Evidence from Loan Sale Events

Massa, Massimo; Schmidt, Daniel - C.E.P.R. Discussion Papers - 2015

, by making lenders share sensitive information about the borrower with the loan market participants, lower the information … market and improves its liquidity. This provides the first evidence of a direct informational link between the loan and bond …

Persistent link: https://www.econbiz.de/10011186624

Asset-backed securitisation and financial stability: the downgrading delay effect

Torre, Mario La; Mango, Fabiomassimo - In: BANCARIA 09 (2012) September

Do rating models embody correctly the impact of macroeconomic variables on debtors’ solvency, determining a lag in downgrading? In pre-crisis periods, when interest rates increases are recorded as well as decreases in real growth rates, rating assessments fail to register risk increases in...

Persistent link: https://www.econbiz.de/10010579501

The Creditor Channel of Liquidity Crises

Liu, Xuewen - 2018

. When the large lender's asset market is hit by a liquidity shock, it might decide to withdraw funding extended to the … supply of market liquidity. The original shock is exacerbated, which reinforces withdrawals by all creditors. The model helps …

Persistent link: https://www.econbiz.de/10012706413

Do Information Rents in Loan Spreads Persist over the Business Cycles?

Mattes, Julian Aaron - 2012

In this paper, we seek empirical evidence for information rents in loan spreads by analyzing a sample of UK syndicated loan contracts for the period from 1996 to 2005. We use various measures for borrower opaqueness and control for bank, borrower and loan characteristics and we find that...

Persistent link: https://www.econbiz.de/10012712836

Shareholder Initiated Class Action Lawsuits : Shareholder Wealth Effects and Industry Spillovers

Gande, Amar - 2012

This paper documents significantly negative stock price reactions to shareholder initiated class action lawsuits. We find that shareholders partially anticipate these lawsuits based on lawsuit filings against other firms in the same industry and capitalize part of these losses prior to a lawsuit...

Persistent link: https://www.econbiz.de/10012755562

Are Banks Still Special When There is a Secondary Market for Loans?

Gande, Amar - 2011

When a borrowing firm's existing loans trade for the first time in the secondary loan market, it elicits a significant … price announcement effect even when prior loans made to the same borrower already trade on the secondary market. Overall, we … active secondary loan market while simultaneously maintaining their traditional specialness as monitors and information …

Persistent link: https://www.econbiz.de/10012757130

Bank Debt Versus Bond Debt : Evidence from Secondary Market Prices

Gande, Amar - 2008

, such as corporate (loan and bond) defaults, and bankruptcies using a unique dataset of daily secondary market prices of …

Persistent link: https://www.econbiz.de/10012727619

Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

asymmetric information flows in the information transmission channels between the market agents, resulting in the origination of …

Persistent link: https://www.econbiz.de/10011107583

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

Ito, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - National Bureau of Economic Research (NBER) - 2012

Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....

Persistent link: https://www.econbiz.de/10010951011

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

Zitzewitz, Eric; Reuter, Jonathan - National Bureau of Economic Research (NBER) - 2010

Although mutual funds exhibit little ability to persistently outperform their peers, money flows into funds with the highest past returns. Berk and Green (2004) rationalize these patterns by arguing that more-skilled managers manage more assets but, because of diseconomies of scale, generate the...

Persistent link: https://www.econbiz.de/10008534525