Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10011507335
This paper investigates how the network of relationships between dealers shapes their trading behavior in the corporate bond market. We show that dealers tend to provide liquidity during periods of distress to the counterparties with whom they have the strongest tie. However, highly connected...
Persistent link: https://www.econbiz.de/10013004863
This paper investigates the ways in which the network of relationships between dealers shapes their trading behavior in the corporate bond market. They charge lower spreads to dealers with whom they have the strongest ties, and this effect is all the more pronounced at times of market turmoil....
Persistent link: https://www.econbiz.de/10012989126
Persistent link: https://www.econbiz.de/10013433532
This paper investigates the ways in which the network of relationships between dealers shapes their trading behavior in the corporate bond market. They charge lower spreads to dealers with whom they have the strongest ties, and this effect is all the more pronounced at times of market turmoil....
Persistent link: https://www.econbiz.de/10012456344
Following the outbreak of the COVID-19 pandemic, the Federal Reserve (Fed) and Central Banks around the world multilaterally conducted a mix of unconventional monetary policies. We evaluate the effects of these recent interventions vis-a-vis earlier episodes of Quantitative Easing (QE)...
Persistent link: https://www.econbiz.de/10012829239
Persistent link: https://www.econbiz.de/10011930029
This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...
Persistent link: https://www.econbiz.de/10011993538
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with...
Persistent link: https://www.econbiz.de/10012975434