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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

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

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

Persistent link: https://www.econbiz.de/10010503289

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

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

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

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

Leaning against the wind: Debt financing in the face of adversity

Brennan, Michael J.; Kraft, Holger - 2016

We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider three possible explanations: market timing, precautionary financing, and...

Persistent link: https://www.econbiz.de/10012064286

Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

Persistent link: https://www.econbiz.de/10012064291

Collateral eligibility of corporate debt in the Eurosystem

Pelizzon, Loriana; Riedel, Max; Simon, Zorka; … - 2020

trading activity increases, (ii) eligible bonds have lower yields, and (iii) the liquidity of newly-issued bonds declines …, whereas the liquidity of older bonds is una↵ected/improves. Corporate bond lending relaxes the constraint of limited …

Persistent link: https://www.econbiz.de/10012210227