Regulation of Money Market Funds (MMFs) in the EU requires some categories MMFs to consider applying liquidity management tools if they breach a minimum ‘weekly’ requirement. Anticipation application such is plausible amplifier run risks. Using larger European dataset than previously studied, we assess whether proximity thresholds explains differences redemptions both at start COVID-19 crisis a...

This paper empirically evaluates the effects of NASDAQ’s $1-minimum-bid-price threshold (known as the one-dollar rule) as part of its listing maintenance criteria. Even though this controversial rule was introduced as early as in September 1991, it remained unexplored by academic research. Empirical evidence compiled in this study suggests that the implementation of this one-dollar rule is just...

This paper studies a dynamic network economy where risk averse traders trade multi-laterally over the counter but cannot commit to fulfill their short positions. We show that, although the level of trade is below the first-best, bilateral clearing with collateral can provide an allocation superior to those without collateral. However, with use of collateral, the optimal bilateral clearing contr...

I document the profits on a trade that is long the old 30-year Treasury bond and short the new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to November 1999. Despite the systematic convergence of the spread over the auction cycle, the average profits are close to zero. The difference in repo-market financing rates between the two bonds is a significant cost of ca...

Fraud and misconduct in financial markets have recently become a key regulatory issue against the backdrop of the financial crisis. This paper investigates the sanctions policy and practices of the French financial regulator, Autorité des Marchés Financiers (AMF). It argues that, over time, the AMF has shifted from substantive to procedural regulation of finance. This shift consists in departin...

The severity of banking crises increases with disinformation about the losses banks incur in making politically directed loans and about the budgetary costs to the government of standing ready to absorb these losses increases. When (as it eventually must) such disinformation begins to lose credibility, silent runs test the government’s commitment to supporting its insolvent banks. An open banki...

This study provides an intraday analysis of Exchange Traded Fund markets. We investigate trading implications surrounding the open and close, and compare price discovery and liquidity in a multi-market trading framework. In addition, we test whether the difference of ETFs with regard to market maker inventory management causes intraday spread patterns to differ from those of the underlying secu...

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The r...