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Institutional Trading Momentum and Mispricing

Bulsiewicz, James - 2017

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Persistent link: https://www.econbiz.de/10012971888

Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions

Marks, Colin P. - 2022

Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its use of total return swaps, Archegos sparked a $30 billion dollar sell-off that left many of the world’s largest banks footing the bill. Mitsubishi UFJ Group estimated a loss of...

Persistent link: https://www.econbiz.de/10013295797

Will Private-Label Securitization Return?

Dodwell, William J. - 2011

This paper examines the prospect of revitalizing asset-backed and non-agency mortgage-backed securitization markets … that will affect the supply of and demand for mortgage- and asset-backed securities. Incentives for future securitization … the return of private-label securitization, and revival will depend on economic recovery and pending legislation and …

Persistent link: https://www.econbiz.de/10013133418

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Psychological Barrier and Cross-Firm Return Predictability

Huang, Shiyang - 2020

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms...

Persistent link: https://www.econbiz.de/10012852966

Broker-Dealer Risk Appetite and Commodity Returns

Etula, Erkko - 2020

Persistent link: https://www.econbiz.de/10012857609

Corporate Bond Illiquidity and Bond Return Synchronicity

Zhang, Zehua - 2020

This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between bond illiquidity and synchronicity, and this empirical...

Persistent link: https://www.econbiz.de/10012828305

FTSE/JSE Top 40 Index Long-Term Returns

Kotze, Antonie - 2017

The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

Persistent link: https://www.econbiz.de/10012955234

The Integrity of Financial Analysts : Evidence from Asymmetric Responses to Earnings Surprises

Lu, Rui - 2016

This paper investigates the integrity of financial analysts by examining their recommendation responses to large quarterly earnings surprises. Although there is no significant difference in recommendation changes between affiliated and unaffiliated analysts in response to positive earnings...

Persistent link: https://www.econbiz.de/10012988912

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Persistent link: https://www.econbiz.de/10013026463

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