Similar Search Results

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Acharya, Viral V.; Ramadorai, Tarun; Lochstoer, Lars A. - National Bureau of Economic Research (NBER) - 2011

speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …

Persistent link: https://www.econbiz.de/10008869242

A Transparency Standard for Derivatives

Acharya, Viral V. - National Bureau of Economic Research (NBER) - 2011

Derivatives exposures across large financial institutions often contribute to - if not necessarily create - systemic risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk contributions. In this paper, I explain how a...

Persistent link: https://www.econbiz.de/10009359905

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - National Bureau of Economic Research (NBER) - 2010

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity...

Persistent link: https://www.econbiz.de/10008680937