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Diversification vs. Contagion in Inter-Linked Portfolios

Meyricke, Ramona - 2013

Inter-linkages between firms are a channel by which idiosyncratic shocks to one firm can affect the returns of linked counterparties. We extend a factor model of returns to allow for the transmission of idiosyncratic shocks between linked counterparties. We show that the structure of...

Persistent link: https://www.econbiz.de/10013092524

Contagion from market price impact : a price-at-risk perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced by the market price impact of asset deleveraging. We introduce a novel method to assess the market price impact on a security-by-security basis from historical daily traded...

Persistent link: https://www.econbiz.de/10013329388

Optimal risk sharing and dividend strategies under default contagion : a semi-analytical approach

Qiu, Ming; Jin, Zhuo; Li, Shuanming - In: Insurance / Mathematics & economics 113 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014466202

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Persistent link: https://www.econbiz.de/10012175486

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns

Broman, Markus S. - 2016

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

Persistent link: https://www.econbiz.de/10013007326

Value at Risk and Stock Portfolio Liquidity

Pasaribu, Rowland Bismark - 2011

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using … pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study …

Persistent link: https://www.econbiz.de/10013125154

Ambiguity Aversion, Strategic Trading, and Funding Liquidity

Oh, Ji Yeol Jimmy - 2011

the distressed arbitrageur faces limited funding liquidity in the form of a simple margin constraint. Finally, we analyse … how the interaction of these two problems, namely fundamental ambiguity and limited funding liquidity, affect the market …

Persistent link: https://www.econbiz.de/10013125533

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

Persistent link: https://www.econbiz.de/10013090386

Amplification of Uncertainty in Illiquid Markets

Albagli, Elias - 2011

This paper argues that the capacity of financial markets to aggregate dispersed information about economic conditions is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations equilibrium dynamic environment, I model informed traders as...

Persistent link: https://www.econbiz.de/10013128328