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Market fragility and international market crashes
Berger, Dave; Pukthuanthong, Kuntara - In: Journal of financial economics 105 (2012) 3, pp. 542-564
Persistent link: https://www.econbiz.de/10009666809
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Financial innovation and fragility
Kühnhausen, Fabian - 2014
In this paper, I evaluate the impact of innovative activity of financial agents on their fragility in a competitive … 2002, I show that a larger degree of innovation negatively (positively) affects firm stability (fragility) after … and against different fragility parameters indicating profitability, activity risk and risk of insolvency. …
Persistent link: https://www.econbiz.de/10010399003
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by … exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility …
Persistent link: https://www.econbiz.de/10012499703
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Credit allocation in heterogeneous banking systems
D'Amato, Marcello; Di Pietro, Christian; Sorge, Marco M. - In: German economic review : GER 21 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012240760
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Identifying fragility for the stock market : Perspective from the portfolio overlaps network
Li, Lin; Guo, Xin-Yu - In: Journal of international financial markets, … 62 (2019), pp. 132-151
Persistent link: https://www.econbiz.de/10012262449
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective...
Persistent link: https://www.econbiz.de/10012271211
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Market conditions, fragility, and the economics of market making
Anand, Amber; Venkataraman, Kumar - In: Journal of financial economics 121 (2016) 2, pp. 327-349
Persistent link: https://www.econbiz.de/10011590773
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Swing pricing and fragility in open-end mutual funds
Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; … - 2019
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds' net asset values to pass on funds' trading costs to transacting shareholders. Using...
Persistent link: https://www.econbiz.de/10012154553
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Theories of change for promoting empowerment and accountability in fragile and conflict-affected settings
Green, Duncan - 2017
Persistent link: https://www.econbiz.de/10011759914
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Misinterpreting others and the fragility of social learning
Frick, Mira; Iijima, Ryota; Ishii, Yuhta - 2019 - This version: January 15, 2019
Persistent link: https://www.econbiz.de/10011977240