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Financial Markets Uncertainty and the Rawlsian Argument for Central Counterparty Clearing of OTC Derivatives

McNamara, Steven R. - 2014

Persistent link: https://www.econbiz.de/10013064621

Uncertainty, Information Acquisition and Price Swings in Asset Markets

Mele, Antonio - 2018

This paper analyzes costly information acquisition in asset markets with Knightian uncertainty about the asset fundamentals. In these markets, acquiring information not only reduces the expected variability of the fundamentals for a given distribution (i.e., risk). It also mitigates the...

Persistent link: https://www.econbiz.de/10012940746

Financial markets with trade on risk and return

Smith, Kevin - 2019

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate...

Persistent link: https://www.econbiz.de/10012244489

Risk Budgeting in Financial Firms and The Value of an Expert Opinion

Vega San Martin, Diego - 2020

We analyze the role of risk limits in the provision of incentives to acquire valuable information for efficient risk management. We study the optimal contract of a trader who (a) must privately exert costly effort in order to collect information and (b) may have access to a costly second opinion...

Persistent link: https://www.econbiz.de/10012853461

Cheap Talk with Multiple Experts and Uncertain Biases

Karakoç, Gülen - 2020

A decision-maker solicits information from two partially informed experts and then makes a choice under uncertainty …. The experts can be either moderately or extremely biased relative to the decision-maker, which is their private … information. I investigate the incentives of the experts to share their private information with the decision-maker and analyze …

Persistent link: https://www.econbiz.de/10014093182

The impact of political risks on financial markets : evidence from a stock price crash perspective

Ma, Yanping; Wei, Qian; Gao, Xiang - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-16

Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore, this paper probes the relationship between firm-level...

Persistent link: https://www.econbiz.de/10014636314

Economics with Market Liquidity Risk

Acharya, Viral V. - 2020

For markets to work efficiently, buyers and sellers must be able to transact easily. People must have access to a marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a well-functioning marketplace will also exist in the...

Persistent link: https://www.econbiz.de/10012847877

Shadow Banks, Leverage Risks, and Asset Prices

Xu, Feng - 2020

Trust companies generate leverage cycle dynamics by intermediating less regulated credit to the financial markets in China. We find that the leverage factor constructed from trust companies can explain the time-series and cross-sectional asset returns. The leverage factor derived from securities...

Persistent link: https://www.econbiz.de/10012850120

Market Dynamics & Systemic Risk

Boran, Milan - 2016

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed. It then explains challenges of systemic risk and...

Persistent link: https://www.econbiz.de/10013008877

Fund Flows Inducing Mispricing of Risk in Competitive Financial Markets

Stahmer, Axel - 2015

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

Persistent link: https://www.econbiz.de/10013011200