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To pool or not to pool? : security design in OTC markets
Glode, Vincent; Opp, Christian; Sverchkov, Ruslan - 2019
Persistent link: https://www.econbiz.de/10012170871
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Security design in non-exclusive markets with asymmetric information
Asriyan, Vladimir; Vanasco, Victoria - 2019
Persistent link: https://www.econbiz.de/10012196200
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Security design in non-exclusive markets with asymmetric information
Vanasco, Victoria; Asriyan, Vladimir - 2020
Persistent link: https://www.econbiz.de/10012198996
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Dynamic asset-backed security design
Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing - In: The review of economic studies : RES 90 (2023) 6, pp. 3282-3314
Persistent link: https://www.econbiz.de/10014427667
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Security design in non-exclusive markets with asymmetric information
Asriyan, Vladimir; Vanasco, Victoria - In: The review of economic studies : RES 91 (2024) 2, pp. 690-719
Persistent link: https://www.econbiz.de/10014528663
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Credit Market Freezes
Benmelech, Efraim - 2017
Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …
Persistent link: https://www.econbiz.de/10012953727
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Securitization and Liquidity Creation in Markets with Adverse Selection
Li, Qi - 2019
predictions on the liquidity of individual debt securities: the selling probability of a debt security increases in its seniority …
Persistent link: https://www.econbiz.de/10012902161
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Portfolio liquidation and security design with private information
DeMarzo, Peter M.; Frankel, David M.; Jin, Yu - 2015 - This Revision: November 7, 2015
We consider a privately informed issuer which holds a portfolio of assets that can be sold to raise cash, where the fractions of assets sold serve as a multidimensional signal. If good news about one asset is good news for the others, then there is a unique equilibrium that satisfies the...
Persistent link: https://www.econbiz.de/10011862114
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Dividend-Protected Convertible Bonds and the Disappearance
Grundy, Bruce D.; Verwijmeren, Patrick - 2012
Firms have not historically called their convertible bonds as soon as they could force conversion. Various explanations for the delay rely on the size of the dividends that bondholders forgo so long as they do not convert. We investigate an important change in convertible security design, namely...
Persistent link: https://www.econbiz.de/10010326309
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Limited Risk-Sharing and Capital Structure
Schüwer, Ulrich - 2010
This paper develops a model where firms' equilibrium capital structures depend on firms' risk characteristics and investors' aggregate risk appetite. I assume that the law of one price fails because security markets are incomplete and risk-sharing through short-selling or borrowing is limited....
Persistent link: https://www.econbiz.de/10010273619