Similar Search Results

Money Market Funds and the Pricing of Near-Money Assets

Dörr, Sebastian; Eren, Egemen; Malamud, Semyon - 2023

between repos and T-bills have an economically significant impact on T-bill rates and market liquidity, and the liquidity … they set repo rates. Moreover, when Treasury market liquidity is low, MMFs tilt their portfolios away from T-bills towards …

Persistent link: https://www.econbiz.de/10014257885

Foreign Exchange Swap Liquidity

Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo - 2023

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market … main findings: First, FX swap liquidity is fragmented across currencies, tenors, and time. Second, liquidity conditions … worsen when dealers’ balance sheet capacity shrinks, especially at quarter-end reporting dates. However, we observe a …

Persistent link: https://www.econbiz.de/10014351476

Bank ratings : what determines their quality?

Hau, Harald; Langfield, Sam; Marqués Ibáñez, David - 2012

This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...

Persistent link: https://www.econbiz.de/10009684283

Unintended consequences of the global derivatives market reform

Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020

We investigate regulatory arbitrage during the G20's global derivatives market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central...

Persistent link: https://www.econbiz.de/10012179682

The Cost of Privacy. The Impact of the California Consumer Protection Act on Mortgage Markets

Gupta, Manish; McGowan, Danny; Ongena, Steven - 2023

We study how the introduction of a law protecting consumer data privacy affects the cost of credit in the US mortgage market. Our estimates reveal that the California Consumer Protection Act increases loan spreads charged by banks by 8 basis points but that it has no effect on the fixed...

Persistent link: https://www.econbiz.de/10014351284

Retail Investors’ Cryptocurrency Investments

Pursiainen, Vesa; Toczynski, Jan - 2022

We use transaction data gathered by a large fintech firm to study retail investors’ investments in cryptocurrencies. Crypto investors tend to be young, male, high-income, and live in wealthy urban areas with high levels of self-employment and low levels of altruism. Crypto investments are...

Persistent link: https://www.econbiz.de/10014235716

Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

Bräuer, Leonie; Hau, Harald - 2022

Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...

Persistent link: https://www.econbiz.de/10014236684

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

Persistent link: https://www.econbiz.de/10003966170

Investors' misperception : a hidden source of high markups in the mutual fund industry

Hu, Shengsui; Malevergne, Yannick; Sornette, Didier - 2009

We develop a principal-agent model based on a sequential game played by a representative investor and a fund manager in an asymmetric information framework. The model shows that investors' perceptions of the fund market play the key role in the fund's fee-setting mechanism. The managers' true...

Persistent link: https://www.econbiz.de/10003966647

Asset allocation and monetary policy : evidence from the eurozone

Hau, Harald; Lai, Sandy - 2013

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...

Persistent link: https://www.econbiz.de/10010256407