Showing 1 - 10 of 7,016
We augment a simple inventory model with new features of the post-crisis regulations to offer new predictions on the effects of post-crisis regulations on the over-the-counter markets. First, the increased capital requirements of Basel III lead to an overall increase in order rejection rates of...
Persistent link: https://www.econbiz.de/10012850380
Using a natural experiment of the staggered dissemination of trading information in the corporate bond market, we find that when public disclosure increases, private information production reduces. The reduction in information production is indicated by fewer bond analyst reports, fewer pages in...
Persistent link: https://www.econbiz.de/10012897113
Using 2002–2014 insurer transactions, we provide the first empirical evidence on underwriters' allocation practices in the primary market for corporate bonds. Since bonds are often underpriced, allocations generate for investors an estimated $41 billion of first-day profits. These profits...
Persistent link: https://www.econbiz.de/10012899269
We develop a rational expectations model in which an issuer purchases credit ratings sequentially, deciding which to disclose to investors. Opacity about contacts between the issuer and rating agencies induces potential asymmetric information about which ratings the issuer obtained. While the...
Persistent link: https://www.econbiz.de/10012940270
This study develops and evaluates a model that generates synthetic credit ratings using accounting and market based information. The model performs very well in explaining agency ratings, suggesting that fitted values for unrated companies are likely to be reasonably precise. In addition, the...
Persistent link: https://www.econbiz.de/10012933324
This paper examines the effects of pre-trade opacity on market liquidity in the presence of market fragmentation. In the laboratory, we create a fragmented market by allowing trading on two venues (i.e., limit order books). By varying the features on one of the venues, we study the treatment...
Persistent link: https://www.econbiz.de/10012826540
We investigate how shocks to the reputation of credit rating agencies and the subsequent introduction of stricter regulation affect investors' reaction to rating signals. We focus on three major episodes of reputational distress: The Enron/WorldCom scandals, the subprime crisis and the lawsuit...
Persistent link: https://www.econbiz.de/10012976242
Companies collected billions in premiums from peculiarly structured put options written on their own stock, while almost all of these puts expired worthless quarter after quarter. Buyers of these options, primarily investment banks, lost money as a result. Although these losses might seem...
Persistent link: https://www.econbiz.de/10013036195
We show that a platform-pays mechanism can address ratings inflation and ratings shopping with minimum regulatory oversight. While we focus on ratings industry, the mechanism also applies to a setting where firms seek unbiased reports from external auditors. The mechanism has two necessary and...
Persistent link: https://www.econbiz.de/10012904746
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10013128337