Showing 1 - 10 of 1,794
basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …
Persistent link: https://www.econbiz.de/10010302537
correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …
Persistent link: https://www.econbiz.de/10013003136
This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …
Persistent link: https://www.econbiz.de/10013116793
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …
Persistent link: https://www.econbiz.de/10010258589
futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …
Persistent link: https://www.econbiz.de/10010399342
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …
Persistent link: https://www.econbiz.de/10011515968
but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and …
Persistent link: https://www.econbiz.de/10011713434
We study how derivatives (with nonlinear payoffs) affect the liquidity of the underlying asset. In a rational … trades affect investors’ utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative … positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast …
Persistent link: https://www.econbiz.de/10013212433
The financial crisis of 2007-2009 highlighted the importance of liquidity to many investors. University endowment funds …, for example, were forced to sell publicly traded securities at substantially depressed values in order to meet funding … investments. We propose, as an alternative, that investors consider purchasing liquidity options to meet unscheduled capital calls …
Persistent link: https://www.econbiz.de/10012906096
We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial … metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities …. Liquidity commonality was present in 1997 - 2003 when commodity prices were relatively stable and during the recent boom. There …
Persistent link: https://www.econbiz.de/10013133566