Showing 1 - 10 of 24,730
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014528264
Persistent link: https://www.econbiz.de/10012888092
Persistent link: https://www.econbiz.de/10012181907
This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate, and increases with tick size; providing strong support...
Persistent link: https://www.econbiz.de/10010485484
Persistent link: https://www.econbiz.de/10014495601
Persistent link: https://www.econbiz.de/10002395360
We study the problem of a leveraged investor that is forced to unwind a significant fraction of its portfolio in a collection of illiquid markets. It is shown that markets may become disrupted in response to a relatively small liquidity shock. As a consequence, the probability of default can be...
Persistent link: https://www.econbiz.de/10013137290
Persistent link: https://www.econbiz.de/10010411461
Persistent link: https://www.econbiz.de/10003591205