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The Riskiness of Credit Allocation and Financial Stability
Brandao-Marques, Luis - 2019
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012859862
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10010373710
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Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010433396
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A Mathematical Theory of Financial Bubbles
Protter, Philip - 2012
Over the last 10 years or so a mathematical theory of bubbles has emerged, following a martingale theory based on an … absence of arbitrage, as opposed to an equilibrium theory. This paper attempts to explain the major developments of the theory … recent development of a theory of bubble detection. Critiques of the theory are presented, and a defense is offered …
Persistent link: https://www.econbiz.de/10013103396
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Market Transparency and the Marking Precision of Bond Mutual Fund Managers
Cici, Gjergji - 2013
We analyze the dispersion of month-end prices simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10013074305
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Efficiently Inefficient Markets for Assets and Asset Management
Garleanu, Nicolae - 2017
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...
Persistent link: https://www.econbiz.de/10012971275
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Dealer Funding and Market Liquidity
Bruche, Max - 2020
We consider a model in which dealers intermediate trades between clients and provide immediacy, or, market liquidity. Dealers can exert unobservable effort to improve the chance of intermediating profitably. This moral-hazard friction impairs dealers' ability to raise external finance and hence...
Persistent link: https://www.econbiz.de/10012850951
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Funding Liquidity and Market Liquidity in Government Bonds
Deuskar, Prachi - 2020
Using a comprehensive dataset of orders and trades in the Indian government bond market, this study presents new evidence on the effect of funding liquidity on market liquidity. Consistent with models that stress intermediary capital, we find that market liquidity has a strong, positive...
Persistent link: https://www.econbiz.de/10012855679
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Market Transparency and the Marking Precision of Bond Mutual Fund Managers
Cici, Gjergji - 2016
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10012988746
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Quants, Strategic Speculation, and Financial Market Quality
Malikov, George; Pasquariello, Paolo - 2021
We study the effects of quantitative equity investing, an increasingly popular investment style, on financial market quality. Within a noisy REE model of strategic speculation with two informed market participants, we define discretionary investing as fully strategic trading and quantitative...
Persistent link: https://www.econbiz.de/10013216669