Narrow search
Showing 1 - 10 of 142
Cover Image
Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010501846
Cover Image
Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012064309
Cover Image
Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
Cover Image
Market Liquidity and Competition among Designated Market Makers
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2023
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? We employ data from … spreads. In particular, market liquidity increases the most for stocks with the largest increase in competition among DMMs …
Persistent link: https://www.econbiz.de/10014351548
Cover Image
Lighting up the dark: Liquidity in the German corporate bond market
Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; … - 2018
We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …
Persistent link: https://www.econbiz.de/10011902293
Cover Image
Pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky … - 2019
Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies suggest that central clearing always reduces...
Persistent link: https://www.econbiz.de/10012064310
Cover Image
OTC discount
de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; … - 2021
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...
Persistent link: https://www.econbiz.de/10012648563
Cover Image
The economic value of cross-predictability: A performance-based measure
Bagnara, Matteo - 2024
Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns...
Persistent link: https://www.econbiz.de/10014633249
Cover Image
Financing asset growth
Brennan, Michael J.; Kraft, Holger - 2013
In this paper we provide new evidence that corporate financing decisions are associated with managerial incentives to report high equity earnings. Managers rely most heavily on debt to finance their asset growth when their future earnings prospects are poor, when they are under pressure due to...
Persistent link: https://www.econbiz.de/10010327802
Cover Image
Coming early to the party
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti; … - 2017
others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …
Persistent link: https://www.econbiz.de/10011723732