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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
basis trades. -- bond asset swap spreads ; CDS premia ; basis trading profits ; credit risk ; liquidity ; fixed …We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them …
Persistent link: https://www.econbiz.de/10003919401
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads … VECM at hand, indicates that stocks lead CDS and bonds more frequently than the other way round. It likewise confirms the … leading role of CDS with respect to bonds …
Persistent link: https://www.econbiz.de/10012755686
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Spillover Effects from the Volkswagen Emissions Scandal : An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets
Barth, Florian - 2019
The Volkswagen emissions scandal is by far the largest case of emissions cheating in automotive history and had wide-reaching consequences for the industry throughout the world. This study examines the spillover effects to competitors and suppliers following Volkswagen's public admission of...
Persistent link: https://www.econbiz.de/10012900398
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Temporäre Marktungleichgewichte auf Bondmärkten : aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven
Kellerhals, Boris Philipp; Uhrig-Homburg, Marliese - 1997
Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen...
Persistent link: https://www.econbiz.de/10010405335
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …
Persistent link: https://www.econbiz.de/10010302537
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The dark and the bright side of liquidity risks : evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times … load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …
Persistent link: https://www.econbiz.de/10003882920
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times … load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …
Persistent link: https://www.econbiz.de/10013155700
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2016
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times … load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …
Persistent link: https://www.econbiz.de/10012989255
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The Dark and the Bright Side of Liquidity Risks : Evidence from Open-End Real Estate Funds in Germany
Fecht, Falko - 2010
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times … load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …
Persistent link: https://www.econbiz.de/10013146662
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Informationseffizienz von Handelsplattformen für Schiffsfonds
Küster-Simić, André; Prigge, Stefan; Thönnessen, Rasmus - 2008
Geschlossene Fonds sind heutzutage ein wichtiger Bestandteil des Kapitalmarktes. Mehr und mehr haben sich für solche Fonds Handelsplattformen, sog. Zweitmärkte, herausgebildet, auf denen diese Beteiligung nach Erwerb gehandelt werden können. In diesem Artikel wird der...
Persistent link: https://www.econbiz.de/10008696137