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Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis
Poon, Ser-Huang - 2012
This paper shows that institutional sell-side herding increased bid-ask spreads and liquidity risk during the 2007 …-8 financial crisis. Such an impact on liquidity is most pronounced in firms with large numbers of institutions that sold the same …-and-hold, investment style to be the least likely to herd; their trading activity did not affect stock market liquidity during the crisis …
Persistent link: https://www.econbiz.de/10013114578
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Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis
Poon, Ser-Huang - 2012
systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the … firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding …
Persistent link: https://www.econbiz.de/10013112832
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
fund investors do in response to poor returns. We relate this stronger sensitivity to losses to share liquidity … restrictions and institutional ownership in hedge funds. Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity …, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13 …
Persistent link: https://www.econbiz.de/10009009543
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Short Selling Bans and Institutional Investors' Herding Behavior : Evidence from the Global Financial Crisis
Siklos, Pierre L. - 2011
The literature on short selling restrictions focuses mainly on a ban's impact on market efficiency, liquidity and …
Persistent link: https://www.econbiz.de/10013131230
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Rethinking Asset Bubbles : Reflections for the Age of Institutional Investing
Jones, Brad - 2017
Upon surveying a contentious topic that has occasioned much debate, this paper offers reflections on the likelihood that asset booms, bubbles and busts continue posing a threat to financial stability despite financial markets becoming increasingly informationally-efficient, complete, and heavily...
Persistent link: https://www.econbiz.de/10012941863
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Active Institutional Investors and Short Sale Constraints around the Global Financial Crisis
Huszar, Zsuzsa R. - 2016
In a sample of U.S. stocks, higher stock lending fees predict significantly lower excess returns beyond shorting demand and loan supply. This relation is stronger after October 2008 which is likely attributable to a regime shift in the lending market with the onset of the Global Financial...
Persistent link: https://www.econbiz.de/10013006169
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Investors Activity and Contagion
Park, A-young; Oh, Gabjin - 2021
The systemic risk induced by a connection among financial objects is generally measured by returns, volatility, interbank loans, etc. Nevertheless, these measures do not capture the microscale component of the interconnections induced by heterogeneous investor activity. In this paper, we exploit...
Persistent link: https://www.econbiz.de/10013238159
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Derivatives WMD, Liability Driven Investment Strategies LDI, the UK Gilt Market Crisis and Pension Fund Collapse Risk
Macey-Dare, Rupert - 2022
In his Berkshire Hathaway annual newsletter to investors c.20 years ago, Warren Buffett while discussing the Long Term Capital Management LTCM and Enron collapses, famously called derivatives: "financial weapons of mass destruction, carrying dangers that, while now latent, are potentially...
Persistent link: https://www.econbiz.de/10014238873
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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658
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Are private banks the better banks? : an insight into the principal-agent structure and risk-taking behavior of German banks
Schmielewski, Frank; Wein, Thomas - 2012
In this study, we propose our hypothesis that the distinguishable principal-agent relationships of German banks are significantly influencing the risk-taking attitudes of bank managers. Particularly, we intend to substantiate the theory that banks owned by dispersed shareholders or federal state...
Persistent link: https://www.econbiz.de/10009515838