منابع مشابه
ETF Arbitrage under Liquidity Mismatch∗
A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage. In addition to their role as de...
متن کاملFunding Liquidity and Market Liquidity
Recent empirical studies have shown an increasing co-movement between fund and market liquidity, which is driven by common factors such as monetary shocks. Modeling this comovement becomes desirable to evaluate policies relating to liquidity and financial instability. This paper establishes a monetary model with capital to explain the dynamic interactions between funding and market liquidity in...
متن کاملAsset Liquidity and Stock Liquidity
We study the relation between the liquidity of the firm’s assets and the liquidity of financial claims on the assets, thereby linking corporate finance decisions to stock liquidity. Our model highlights an ambiguous relationship. While greater asset liquidity reduces uncertainty regarding valuation of assets-in-place, it increases future investments and the associated uncertainty. The model sho...
متن کاملMarket Liquidity and Funding Liquidity
We provide a model that links a security’s market liquidity — i.e., the ease of trading it — and traders’ funding liquidity — i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding, that is, their capital and the margins charged by their financiers. In times of crisis, reductions in market liquidity and funding liquidity are mutua...
متن کاملMeasurement of DNA mismatch repair activity in live cells.
Loss of DNA mismatch repair (MMR) function leads to the development and progression of certain cancers. Currently, assays for DNA MMR activity involve the use of cell extracts and are technically challenging and costly. Here, we report a rapid, less labor-intensive method that can quantitatively measure MMR activity in live cells. A G-G or T-G mismatch was introduced into the ATG start codon of...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2539659