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Broker routing decisions in limit order markets

Cimon, David A. - 2016

The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. I construct a model of limit order trading in which brokers...

Persistent link: https://www.econbiz.de/10011567612

Strategic complementarities and money market fund liquidity management

Witmer, Jonathan - 2017

coordinate their redemption decisions. Additionally, at quarter ends, when non-US bank dealers reduce their repo funding (Munyan …. External prime money market funds do not let this decreased cash demand from non-US bank dealers reduce their liquidity as much …

Persistent link: https://www.econbiz.de/10011637400

Constrained efficiency with adverse selection and directed search

Davoodalhosseini, Seyed Mohammadreza - 2017

Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment. When...

Persistent link: https://www.econbiz.de/10011637416

Fragility of resale markets for securitized assets and policy of asset purchases

Kuncl, Martin - 2016

Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or...

Persistent link: https://www.econbiz.de/10011552808

Household stockholding behavior during the great financial crisis

Zhou, Jie - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10010514033

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10010496138

Credit market frictions and sudden stops

Imura, Yuko - 2014

Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). This paper develops a two-sector small open economy model wherein...

Persistent link: https://www.econbiz.de/10010426139

Quantifying contagion risk in funding markets : a model-based stress-testing approach

Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015

market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection … in the secondary market for the bank's assets interact, leading to a vicious cycle that can drive otherwise solvent banks … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …

Persistent link: https://www.econbiz.de/10011304764

International transmission of credit shocks in an equilibrium model with production heterogeneity

Imura, Yuko; Thomas, Julia K. - 2015

Many policy-makers and researchers view the recent financial and real economic crises across North America, Europe and beyond as a global phenomenon. Some have argued that this global recession has a common source: the U.S. financial crisis. This paper investigates the extent to which a credit...

Persistent link: https://www.econbiz.de/10011280030

High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10010441177