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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
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
Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its …
Persistent link: https://www.econbiz.de/10013295797
derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset …
Persistent link: https://www.econbiz.de/10003947918
results are suggesting about the considerable performance of Reversal effect in hourly time frame of Last ten years, while …
Persistent link: https://www.econbiz.de/10013083734
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
Appendix is available at: "https://ssrn.com/abstract=3395415" https://ssrn.com/abstract=3395415Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of...
Persistent link: https://www.econbiz.de/10012901408
Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to … fund size and performance. Exploiting fund heterogeneity to decreasing returns to scale, we show that investors direct …-allocate capital to these low sensitivity funds leading to significantly negative excess performance …
Persistent link: https://www.econbiz.de/10012901686
performance through two strategies: “exit and fundraise” and “NAV management.” Consistent with the former, performance peaks are …General partners (GPs) in private equity (PE) report the performance of an existing fund while raising capital for a … follow-on fund. Interim performance has large effects on fundraising outcomes; the impact is greatest when backed by exits …
Persistent link: https://www.econbiz.de/10012938210
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