منابع مشابه
Trader Anonymity, Price Formation and Liquidity
Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of private information. He uses this knowledge to price discriminate. This can be achieved by quoting a larg...
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We model financial market liquidity as provided by financially constrained arbitrageurs. Market liquidity increases with the level of arbitrage capital, i.e., internal and external capital arbitrageurs can access frictionlessly. We show that liquidity dry-ups follow periods of low returns of arbitrageurs’ risky investment opportunities, and that liquidity is correlated across markets. A welfare...
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This paper exposes a fundamental tension between the micro-prudential objective of subjecting banks to greater discipline through debt markets and the macro-prudential objective of containing systemic risk. We show that banks are illiquid due to the inability of bankers to credibly pre-commit to asset choices. Bank debt can reduce this illiquidity by disciplining bankers with the threat of prem...
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LEVERAGE AND LIQUIDITY: EVIDENCE FROM THE CLOSED-END FUND INDUSTRY BY YUEHUA TANG APRIL 19, 2013 Committee Chair: VIKAS AGARWAL Major Academic Unit: YUEHUA TANG This paper uses the February 2008 auction rate security (ARS) market freeze to examine the spillover effects of an exogenous funding liquidity shock on the underlying asset markets. Consistent with theory, I find that the stocks held by...
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The recent recession in the US saw an unusually large and persistent decline in output, low inflation and deflation, significant house price declines, and short term interest rates near zero. Much discussion of this episode has centered around financial markets and the high leverage positions at the onset of the recession. In this paper, we analyze the role of leverage in determining the proper...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2017
ISSN: 0022-1082
DOI: 10.1111/jofi.12507