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Market liquidity and exposure of hedge funds

Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011

Persistent link: https://www.econbiz.de/10009720730

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014

We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...

Persistent link: https://www.econbiz.de/10010373710

Benchmarks in search markets?

Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - 2015

We characterize the price-transparency role of benchmarks in over-the-counter markets. A benchmark can, under conditions, raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the...

Persistent link: https://www.econbiz.de/10011524569

Banks, markets, and financial stability

Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014

We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...

Persistent link: https://www.econbiz.de/10010433396

Does active portfolio management create value? : an evaluation of fund managers' decisions

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

Persistent link: https://www.econbiz.de/10001946175

Illiquid financial products and distribution policies : new insights

Polato, Maurizio; Floreani, Josanco - In: Journal of applied finance & banking 1 (2011) 2, pp. 155-172

opportunistic behaviours by intermediaries. New regulations are targeted to improve risk-based transparency standards and set … addressed deals with the effectiveness of a risk based transparency regulation. -- illiquid financial instruments ; Otc markets …

Persistent link: https://www.econbiz.de/10009536158

Delegated portfolio management, optimal fee contracts, and asset prices

Sato, Yuki - 2015

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …

Persistent link: https://www.econbiz.de/10011293478

Inflation-Hedging Portfolios in Different Regimes

Signori, Ombretta - 2011

strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate …

Persistent link: https://www.econbiz.de/10013130334

Separating Portfolio Performance into Opportunity, Foresight, and Active Management Risk

Khang, Kenneth - 2011

measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which … the investment opportunity set contains exploitable asset returns. Foresight and Active Management Risk reflect how well a … recommendations from a set of Investment Houses. We find little Foresight, but considerable Active Management Risk …

Persistent link: https://www.econbiz.de/10013133301