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Diving into dark pools
Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022
stocks controlling for liquidity. For a given stock, dark pool activity is significantly higher on days with high share …
Persistent link: https://www.econbiz.de/10012816610
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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/10011389297
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Cycles of declines and reversals following overnight market declines
Abdi, Farshid - 2018 - This version: September 2018
, consistent with theoretical models in which binding capital constraints lead to liquidity dry-ups, an overnight decline in the …. Moreover, I show that market liquidity of volatile stocks further deteriorates following an overnight market decline, which …
Persistent link: https://www.econbiz.de/10011993528
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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Institutional corporate bond demand
Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020
-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …
Persistent link: https://www.econbiz.de/10012421461
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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The cost of capital of the financial sector
Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...
Persistent link: https://www.econbiz.de/10011410520
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The …
Persistent link: https://www.econbiz.de/10011520321
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Why is there a secular decline in idiosyncratic risk in the 2000s?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2019
Except for relatively short but intense episodes of high market risk, average idiosyncratic risk (IR) falls steadily after 2000 until almost the end of our sample period in 2017. The decrease has been such that from 2012 to 2017 average IR was lower than any time since 1965. The secular decline...
Persistent link: https://www.econbiz.de/10012120300