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Issuance Expenses and Common Stock Offerings for Over-the-Counter Firms
Hull, Robert M.; Fortin, Richard - In: Journal of Small Business Finance 3 (1993) 1, pp. 1-16
This study explores the role of issuance expenses in explaining the fall in stock value for OTC stock offerings that …
Persistent link: https://www.econbiz.de/10011310324
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Firm Size and the Information Content of Over-the-Counter Common Stock Offerings
Hull, Robert M.; Pinches, George E. - In: Journal of Small Business Finance 4 (1995) 1, pp. 31-55
We examine the announcement period of stock returns for 179 over-the-counter (OTC) firms that issue common stock to … reduce nonconvertible debt. We find that small OTC firms experience returns that are significantly more negative than large … OTC firms. Regression tests reveal that firm size is a significant factor in accounting for stock returns. Other tests …
Persistent link: https://www.econbiz.de/10011310344
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Firm Size and the Information Content of Over-the-Counter Common Stock Offerings
Hull, Robert M.; Pinches, George E. - In: Journal of Entrepreneurial Finance 4 (1995) 1, pp. 31-55
We examine the announcement period of stock returns for 179 over-the-counter (OTC) firms that issue common stock to … reduce nonconvertible debt. We find that small OTC firms experience returns that are significantly more negative than large … OTC firms. Regression tests reveal that firm size is a significant factor in accounting for stock returns. Other tests …
Persistent link: https://www.econbiz.de/10010790727
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Cash-in-the-market pricing in a model with money and over-the-counter financial markets
Mattesini, Fabrizio; Nosal, Ed - 2013
the OTC market: Greater levels of liquidity lead to higher asset prices. Since asset prices are linked to liquidity, they … can fluctuate over time even though asset fundamentals are fixed. Bid and ask prices naturally arise in an OTC market and … the OTC market structure. An increase in inflation widens bid-ask spreads and decreases asset prices …
Persistent link: https://www.econbiz.de/10010352181
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Decentralized Exchange
Malamud, Semyon; Rostek, Marzena - NET Institute - 2012
We develop a model of decentralized markets in which trading environment is determined by a general network structure. We study how the equilibrium allocation and liquidity depend on the network topology and how an agent’s risk exposure depends on other agents’ exposures. Agents hold...
Persistent link: https://www.econbiz.de/10010905467
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Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
Mattesini, Fabrizio; Nosal, Ed - Federal Reserve Bank of Chicago - 2011
the OTC market: Greater levels of liquidity lead to higher asset prices. Since asset prices are linked to liquidity, they … can fluctuate over time even though asset fundamentals are fixed. Bid and ask prices naturally arise in an OTC market and … the OTC market structure. An increase in inflation widens bid-ask spreads and decreases asset prices. …
Persistent link: https://www.econbiz.de/10010735677
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10010312025
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10010957120
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Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
Fortin, Rich; Maese, Judy - In: Journal of Small Business Finance 2 (1992) 1, pp. 39-52
This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent with a value enhancing impact of derivative security...
Persistent link: https://www.econbiz.de/10011310309
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541794