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To disclose or not to disclose : transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010361830
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010958715
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Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Journal of Financial Economics 105 (2012) 1, pp. 18-36
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …
Persistent link: https://www.econbiz.de/10010571651
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Liquidity provision in the foreign exchange market
Gallien, Florent; Kassibrakis, Serge; Klimenko, Nataliya; … - 2018 - This version: July 15, 2018
construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …
Persistent link: https://www.econbiz.de/10011900334
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Dealer Networks
Li, Dan; Schürhoff, Norman - C.E.P.R. Discussion Papers - 2014
, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …
Persistent link: https://www.econbiz.de/10011084269
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Dealer Networks
Li, Dan; Schurhoff, Norman - Federal Reserve Board (Board of Governors of the … - 2014
, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …
Persistent link: https://www.econbiz.de/10011095300
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Dealer networks
Li, Dan; Schürhoff, Norman - 2014
Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory audit trail data show the dealer network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow in a...
Persistent link: https://www.econbiz.de/10010443056
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalin; Merrick, … - 2014
Bessembinder, Maxwell, and Venkataraman's (2006) information-based channel relating transparency and pricing. During the pre-TRACE … mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout …
Persistent link: https://www.econbiz.de/10010369593
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalin; Merrick, … - Deutsche Bundesbank - 2014
Bessembinder, Maxwell, and Venkataraman's (2006) information-based channel relating transparency and pricing. During the pre-TRACE … mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout …
Persistent link: https://www.econbiz.de/10010984744
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2013 - This Draft: September 3, 2013
fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated … bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout events …% after the start of TRACE reporting. A difference-in-differences regression analysis of the two-stage rollout of BBB …
Persistent link: https://www.econbiz.de/10010207843