Narrow search
Showing 1 - 10 of 131
Cover Image
Minimum Price Increment, Competition for Liquidity Provision, and Price Discovery
Fleming, Michael J.; Nguyen, Giang; Ruela, Francisco - 2021
depth, and improved price efficiency.Moreover, slow traders become more competitive in liquidity provision and price …
Persistent link: https://www.econbiz.de/10013244513
Cover Image
Asset Price Effects of Peer Benchmarking : Evidence from a Natural Experiment
Acharya, Sushant - 2015
We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...
Persistent link: https://www.econbiz.de/10013023314
Cover Image
Market Declines : Is Banning Short Selling the Solution?
Battalio, Robert H. - 2012
stock prices, but significantly increased costs of liquidity. In August 2011, the U.S. market experienced a large decline …
Persistent link: https://www.econbiz.de/10013113906
Cover Image
Repo Market Effects of the Term Securities Lending Facility
Fleming, Michael J. - 2010
The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing …
Persistent link: https://www.econbiz.de/10013148779
Cover Image
The Microstructure of China's Government Bond Market
Bai, Jennie - 2013
Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...
Persistent link: https://www.econbiz.de/10013081130
Cover Image
The Private Premium in Public Bonds
Kovner, Anna - 2014
observable differences, including rating, financial performance, industry, bond characteristics, liquidity and issuance timing …
Persistent link: https://www.econbiz.de/10013066474
Cover Image
Performance Maximization of Actively Managed Funds
Guasoni, Paolo - 2014
Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10013070365
Cover Image
ECB Monetary Operations and the Interbank Repo Market
Dunne, Peter G. - 2014
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10013061127
Cover Image
Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
van der Wel, Michel - 2009
the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results … suggest that some market makers actively demand liquidity for a substantial part of the day and are informed speculators …
Persistent link: https://www.econbiz.de/10013159473
Cover Image
Cash-Forward Arbitrage and Dealer Capital in MBS Markets : COVID-19 and Beyond
Chen, Jiakai - 2020
liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but … subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0 … combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the …
Persistent link: https://www.econbiz.de/10012828310