2期

最新文章

• Imperfect competition, information heterogeneity, and financial contagion AI翻译
  作者：Pasquariello, Paolo
  作者单位：University of Michigan System; University of Michigan
  摘要：This study examines how heterogeneity of private information may induce financial contagion. Using a model of multi-asset trading in which the three main channels of contagion through financial linkages in the literature (correlated information, correlated liquidity, and portfolio rebalancing) are ruled out by construction, I show that financial contagion can still be an equilibrium outcome when speculators receive heterogeneous fundamental information. Risk-neutral speculators trade strategic...
• Transparency and liquidity: A controlled experiment on corporate bonds AI翻译
  作者：Goldstein, Michael A.; Hotchkiss, Edith S.; Sirri, Erik R.
  作者单位：Babson College; Boston College
  摘要：This article reports the results of an experiment designed to assess the impact of last-sale trade reporting on the liquidity of BBB corporate bonds. Overall, adding transparency has either a neutral or a positive effect on liquidity. Increased transparency is not associated with greater trading volume. Except for very large trades, spreads on newly transparent bonds decline relative to bonds that experience no transparency change. However, we find no effect on spreads for very infrequently tr...
• Trade credit:: Suppliers as debt collectors and insurance providers AI翻译
  作者：Cunat, Vicente
  作者单位：Pompeu Fabra University
  摘要：This article examines how in a context of limited enforceability of contracts suppliers may have a comparative advantage over banks in lending to customers because they are able to stop the supply of intermediate goods. Suppliers may act also as liquidity providers, insuring against liquidity shocks that could endanger the survival of their customer relationships. The relatively high implicit interest rates of trade credit are the result of insurance and default premiums that are amplified whe...
• Financial intermediation and the costs of trading in an opaque market AI翻译
  作者：Green, Richard C.; Hollifield, Burton; Schuerhoff, Norman
  作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
  摘要：Municipal bonds trade in opaque, decentralized broker-dealer markets in which price information is costly to gather. We analyze a database of trades between broker-dealers and customers in municipal bonds. These data were only released to the public with a lag; the market was opaque. Dealers earn lower average markups on larger trades, even though dealers bear a higher risk of losses with larger trades. We estimate a bargaining model and compute measures of dealer's bargaining power. Dealers e...
• Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility AI翻译
  作者：Medvedev, Alexey; Scaillet, Olivier
  作者单位：University of Geneva; University of Geneva
  摘要：We derive an asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different calendar dates to extr...