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Will Private-Label Securitization Return?
Dodwell, William J. - 2011
This paper examines the prospect of revitalizing asset-backed and non-agency mortgage-backed securitization markets … that will affect the supply of and demand for mortgage- and asset-backed securities. Incentives for future securitization … the return of private-label securitization, and revival will depend on economic recovery and pending legislation and …
Persistent link: https://www.econbiz.de/10013133418
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Institutional Trading Momentum and Mispricing
Bulsiewicz, James - 2017
I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...
Persistent link: https://www.econbiz.de/10012971888
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Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions
Marks, Colin P. - 2022
Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its …
Persistent link: https://www.econbiz.de/10013295797
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Broker-dealer risk appetite and commodity returns
Etula, Erkko M. - 2010 - Rev.
derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset …
Persistent link: https://www.econbiz.de/10003947918
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Psychological Barrier and Cross-Firm Return Predictability
Huang, Shiyang - 2020
We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms...
Persistent link: https://www.econbiz.de/10012852966
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Broker-Dealer Risk Appetite and Commodity Returns
Etula, Erkko - 2020
derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset pricing …
Persistent link: https://www.econbiz.de/10012857609
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Corporate Bond Illiquidity and Bond Return Synchronicity
Zhang, Zehua - 2020
This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between bond illiquidity and synchronicity, and this empirical...
Persistent link: https://www.econbiz.de/10012828305
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FTSE/JSE Top 40 Index Long-Term Returns
Kotze, Antonie - 2017
The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...
Persistent link: https://www.econbiz.de/10012955234
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The Integrity of Financial Analysts : Evidence from Asymmetric Responses to Earnings Surprises
Lu, Rui - 2016
This paper investigates the integrity of financial analysts by examining their recommendation responses to large quarterly earnings surprises. Although there is no significant difference in recommendation changes between affiliated and unaffiliated analysts in response to positive earnings...
Persistent link: https://www.econbiz.de/10012988912
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …
Persistent link: https://www.econbiz.de/10013026463