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On the Determinants of the Value of Call Options on Default-Free Bonds
Buser, Stephen Aubrey - 2008
produce similar estimates of bond option values. This result is established for simple option forms with known closed …
Persistent link: https://www.econbiz.de/10012774565
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Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk
Lehmann, Bruce Neal - 2008
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental...
Persistent link: https://www.econbiz.de/10012772385
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Currency Matters : Analyzing International Bond Portfolios
Burger, John D. - 2017
Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings—indirectly because the global holdings dataset does not differentiate by currency denomination—and then more …
Persistent link: https://www.econbiz.de/10012962726
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Sovereign Bond Prices, Haircuts and Maturity
Asonuma, Tamon - 2017
perceived default risk, bond prices, and haircuts by maturity …
Persistent link: https://www.econbiz.de/10012946502
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The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets
Burger, John D. - 2017
We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …
Persistent link: https://www.econbiz.de/10012950839
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The Shifting Drivers of Global Liquidity
Avdjiev, Stefan - 2017
The sensitivity of the main global liquidity components, international loan and bond flows, to global factors varied …
Persistent link: https://www.econbiz.de/10012952502
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Robust Bond Risk Premia
Bauer, Michael D. - 2017
predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …
Persistent link: https://www.econbiz.de/10012954916
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Self-Fulfilling Debt Dilution : Maturity and Multiplicity in Debt Models
Aguiar, Mark - 2018
We establish that creditor beliefs regarding future borrowing can be self-fulfilling, leading to multiple equilibria with markedly different debt accumulation patterns. We characterize such indeterminacy in the Eaton-Gersovitz sovereign debt model augmented with long maturity bonds. Two...
Persistent link: https://www.econbiz.de/10012916901
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Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes
Fleckenstein, Matthias - 2018
We identify a significant premium in the prices of Treasury floating rate notes (FRNs) relative to both Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and differs from the liquidity and on-the-run premia in Treasury security prices previously...
Persistent link: https://www.econbiz.de/10012908475
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Banks as Patient Fixed-Income Investors
Hanson, Samuel G.; Shleifer, Andrei; Stein, Jeremy C.; … - 2021
We examine the business model of traditional commercial banks in the context of their co-existence with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in different ways. Traditional banks create safe claims by relying on deposit insurance,...
Persistent link: https://www.econbiz.de/10013224374