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The Souk Al-Manakh: the anatomy of a pure price-chasing bubble

Veneroso, Frank; Pasquali, Mark - 2021

, drawn from a book in progress, examines the history of stock markets for comparable pure price-chasing bubbles, finding nine …

Persistent link: https://www.econbiz.de/10012496514

Essays on the market structure and pricing of credit derivatives

Junge, Benjamin - 2016

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets …. Traditionally, credit derivatives are traded in relatively opaque over-thecounter markets in which trading is segmented and subject … credit derivatives markets without affecting their segmented structures. …

Persistent link: https://www.econbiz.de/10011903108

Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...

Persistent link: https://www.econbiz.de/10011903311

Market structure and transaction costs of index CDSs

Junge, Benjamin; Collin-Dufresne, Pierre; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 35-68, 125-167). 2016

-Frank regulations that made all-to-all trading possible had the potential to break up the market’s segmented structure but failed to do …

Persistent link: https://www.econbiz.de/10011903312

Index CDS trading costs around the introduction of SEFs

Junge, Benjamin - In: Essays on the market structure and pricing of credit …, (pp. 69-103, 185-173). 2016

The third chapter documents a decline of transaction costs and profits from liquidity provision in the index CDS market over a two-and-a-half-year period during which Dodd-Frank regulations were implemented. Transaction costs and profits from liquidity provision declined around the introduction...

Persistent link: https://www.econbiz.de/10011903316

Bid-ask spreads and the over-the-counter interdealer markets : core and peripheral dealers

Neklyudov, Artem - In: Review of economic dynamics 33 (2019), pp. 57-84

Persistent link: https://www.econbiz.de/10012312178

A model of the federal funds market : yesterday, today, and tomorrow

Afonso, Gara; Armenter, Roc; Lester, Benjamin - In: Review of economic dynamics 33 (2019), pp. 177-204

Persistent link: https://www.econbiz.de/10012312191

Over-the-counter market liquidity and securities lending

Foley-Fisher, Nathan; Gissler, Stefan; Verani, Stéphane - In: Review of economic dynamics 33 (2019), pp. 272-294

Persistent link: https://www.econbiz.de/10012312211

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

A search-theoretic model of the term premium

Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, … - In: Theoretical economics : TE ; journal of the Econometric … 11 (2016) 3, pp. 897-935

Persistent link: https://www.econbiz.de/10011584269