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Author : Lubomir Petrasek
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (755 download)
Download or read book Essays on Liquidity written by Lubomir Petrasek and published by . This book was released on 2011 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Brendan McDermott
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (451 download)
Download or read book Essays on Liquidity in Financial Markets written by John Brendan McDermott and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chitrupa Sudarshan Fernando
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 (244 download)
Download or read book Essays on Liquidity in Financial Markets written by Chitrupa Sudarshan Fernando and published by . This book was released on 1991 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Guido Lorenzoni
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (496 download)
Download or read book Essays on Liquidity in Macroeconomics written by Guido Lorenzoni and published by . This book was released on 2001 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis includes four essays on the macroeconomic effects of financial market imperfections. The first essay studies the incentives for banks that participate in an interbank market to keep a sufficient level of reserves. It presents a model where, in presence of imperfect insurance against bank-specific shocks, banks keep an inefficiently low ratio of reserves to deposits. A consequence of this is that the interest rate on the money market will fluctuate too much from a second-best perspective. It discusses the potential benefits and risks associated to central bank intervention, and highlights the complementarity between regulatory reserve requirements and stabilization of the interest rate. The second essay (joint with C. Hellwig) studies the ability of banks to issue liquid liabilities while holding only a fraction of their activities in liquid assets. We study the possibility of self-sustaining equilibria in which banks are prevented from abusing their issuing privilege by the threat of losing it in case of default. The third essay is a contribution to the empirics of precautionary savings and shows evidence of a decreasing relationship between household wealth and the variability of consumption expenditure. The evidence is consistent with the presence of a precautionary motive for wealth accumulation. The fourth essay (joint with F. Broner) shows that the time series of the spreads on emerging market bonds appears consistent with the view that international investors supplying funds to these countries are liquidity constrained at times of large price drops.
Author : Jördis Hengelbrock
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (642 download)
Download or read book Essays on Liquidity in Financial Markets written by Jördis Hengelbrock and published by . This book was released on 2009 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre-Olivier Weill
Publisher :
ISBN 13 :
Total Pages : 358 pages
Book Rating : 4.F/5 ( download)
Download or read book Essays on Liquidity in Financial Markets written by Pierre-Olivier Weill and published by . This book was released on 2004 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roland Umlauft
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Liquidity and Risk written by Roland Umlauft and published by . This book was released on 2013 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Chapter 1 I investigate the economic importance of correlation in mutual fund flows for funds with overlapping portfolio positions. I illustrate theoretically that commonality in trading by funds due to flow correlation influences the optimal portfolio. Furthermore, I show that the expected return from an asset for a specific agent is conditional on correlation of this particular asset holder's flows with his peers. Finally, I derive a theoretical upper bound of optimal flow correlation and hypothesize the existence of at least one optimal equilibrium outcome for any combination of pairwise fund flow correlations. Empirically, I introduce a measure of portfolio adjusted flow correlation and find that co-movement in flows can significantly deteriorate fund performance in the long-run, by about 1.4% annually between peer funds with high and low correlation, adjusted for style. Finally, I find that around one third of US mutual funds holds non-optimal portfolios as far as dynamic liquidity from correlated trading patterns is concerned. The research in Chapter 2 presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of stocks. I argue that because of differences in liquidity (or trading cost), most trading activity is concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for the liquid asset class beyond their true level of risk from the underlying dividend process with regard to the market risk factor. Vice-versa, the risk of illiquid assets becomes understated. Moreover, it is argued that a reduction of trading cost in the cross-section will reduce such differences and lead to a convergence of risk factor estimates towards the true value of underlying risk. Empirical evidence using data surrounding the tick-reduction event at the New York Stock Exchange is supporting this hypothesis. I find that beta estimates for liquid assets exceed their illiquid peers, while the difference in beta between the groups is significantly reduced after the exogenous trading cost reduction due to the tick-change event. In Chapter 3 I investigate asset liquidity surrounding fire-sale events by mutual funds. I develop revised method for identifying liquidity-driven sales. I find empirical evidence of both front running and liquidity provision surrounding liquidity-driven fire-sale events. Applying my identification method for sample selection I find significantly faster rates of return reversal compared to previous literature. Moreover, I show that asset liquidity measures return to their intrinsic values very shorty after a fire-sale. Finally, I show that a trading strategy of liquidity provision by outsiders provides economically significant returns.
Author : Joonwon Kim
Publisher :
ISBN 13 :
Total Pages : 306 pages
Book Rating : 4.:/5 (33 download)
Download or read book Essays on Liquidity and Money written by Joonwon Kim and published by . This book was released on 1993 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wei-Xuan Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Two essays on liquidity. Essay I written by Wei-Xuan Li and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pablo Daniel Kurlat
Publisher :
ISBN 13 :
Total Pages : 131 pages
Book Rating : 4.:/5 (655 download)
Download or read book Essays on Liquidity and Information written by Pablo Daniel Kurlat and published by . This book was released on 2010 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the interaction of liquidity and incomplete or asymmetric information. In Chapter 1, I study a dynamic economy with illiquidity due to adverse selection in financial markets. Investment is undertaken by borrowing-constrained entrepreneurs. They sell their past projects to finance new ones, but asymmetric information about project quality creates a lemons problem. The magnitude of this friction responds to aggregate shocks, amplifying the responses of asset prices and investment. Indeed, negative shocks can lead to a complete shutdown in financial markets. I then introduce learning from past transactions. This makes the degree of informational asymmetry endogenous and makes the liquidity of assets depend on the experience of market participants. Market downturns lead to less learning, worsening the future adverse selection problem. As a result, transitory shocks can create highly persistent responses in investment and output. In Chapter 2, I study why firms can choose to be illiquid. Optimal incentive schemes for managers may involve liquidating a firm following bad news. Fragile financial structures, vulnerable to runs, have been proposed as a way to implement these schemes despite their ex-post inefficiency. I show that in general these arrangements result in multiple equilibria and, even allowing arbitrary equilibrium selection, they do not necessarily replicate optimal allocations. However, if output follows a continuous distribution and creditors receive sufficiently precise individual early signals, then there exists a fragile financial structure such that global games techniques select a unique equilibrium which reproduces the optimal allocation. In Chapter 3, I study speculative attacks against illiquid firms. When faced with a speculative attack, banks and governments often hesitate, attempting to withstand the attack but giving up after some time, suggesting they have some ex-ante uncertainty about the magnitude of the attack they will face. I model that uncertainty as arising from incomplete information about speculators' payoffs and find conditions such that unsuccessful partial defenses are possible equilibrium outcomes. There exist priors over the distribution of speculators' payoffs that can justify any possible partial defense strategy. With Normal uncertainty, partial resistance is more likely when there is more aggregate uncertainty regarding agents' payoffs and less heterogeneity among them.
Author : Chang Liu (Writer on finance)
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (18 download)
Download or read book Two Essays on Corporate Liquidity Management written by Chang Liu (Writer on finance) and published by . This book was released on 2018 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation contains two essays regarding corporate liquidity management. In the first essay, we find that personal connections between borrowers and lenders have a significant impact on the choice of corporate liquidity. Connected firms tend to obtain larger credit lines and hold less cash. Closer personal ties result in easier access to credit lines during economic shocks, such as financial crisis and negative news of credit quality. In addition, connections help firms with tighter financial constraints or higher risk obtain larger amount of credit lines. Connections also increase the amount of credit lines of borrowers with less public debt. Overall, our findings suggest that reduced asymmetric information between borrowers and lenders can improve corporate liquidity management. In the second essay, we study the relationship between corporate liquidity choice and market value by using the market-to-book decomposition of Rhodes-Kropf, Robinson, and Viswanathan (2005). We find that sector overvaluation or long-run growth usually increase the portion of cash in the total corporate liquidity. The effect is stronger in firms with larger growth opportunities, better corporate governance, or longer investor horizons. Moreover, the choice between cash and credit lines for firms without credit ratings are more sensitive to the sector overvaluation or long-run growth. In addition, we find sector error and long-run growth have stronger effects on corporate liquidity in the long horizons.
Author : Manuel Emilio Macera Carnero
Publisher :
ISBN 13 :
Total Pages : 73 pages
Book Rating : 4.:/5 (861 download)
Download or read book Essays on Liquidity Management and Aggregate Fluctuations written by Manuel Emilio Macera Carnero and published by . This book was released on 2013 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ye Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays on Financial Intermediation and Liquidity written by Ye Li and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The complementarity between money and credit arises from financial frictions and amplifies economic fluctuations. In the third essay, my coauthors and I model the liquidity demand of banks. To buffer liquidity shocks, banks hold central bank reserves and can borrow reserves from each other. The propagation of liquidity shocks, depend on the topology of interbank credit network, but more importantly, on the type of equilibrium on the network (strategic complementarity vs. substitution). The model is estimated using data on reserves, interbank credit, bank balance sheets, and macroeconomic variables. We propose a method to identify banks that contribute the most to systemic risk, and offer policy guidance by comparing the decentralized outcome with the choice of a benevolent planner.
Author :
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.:/5 (88 download)
Download or read book Essays on Liquidity and Monetary Policy written by and published by . This book was released on 2012 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two self-contained essays on liquidity and monetary policy, organized in the form of two chapters. In the first chapter I study the effects of monetary policy, in the sense of fully anticipated inflation, on economic growth through entrepreneurship. In the model, money is needed because production costs need to be paid before revenue is received. I demonstrate how the existence of a borrowing constraint gives entrepreneurs an incentive to hold money, that is, to reduce the missed profit opportunity due to liquidity constraints when receiving favorable productivity shocks. Then I show that when agents are allowed to make occupational choices of being either workers or entrepreneurs, long-run inflation, at low levels, can increase growth by encouraging entrepreneurship. This channel is novel and provides a theoretical rationale for the empirical findings that growth can increase with long-run inflation for low inflation rates. The second chapter studies economies where houses, in addition to providing utility as shelter, may also facilitate credit transactions, since home equity can be used as collateral. We document there were big increases in home-equity-backed consumption loans coinciding with the start of the house price boom, and suggest an explanation. When it can be used as collateral, housing can bear a liquidity premium. Since liquidity is endogenous, even when fundamentals are constant and agents fully rational house prices can display complicated equilibrium paths resembling bubbles. Our framework is tractable, with exogenous or with endogenous supply, yet captures several salient features of housing markets. Numerical work shows the model can capture may features of the data. The effects of monetary policy are also discussed.
Author : Mingxin Li
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Liquidity and Risk Management written by Mingxin Li and published by . This book was released on 2017 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three independent essays on stock liquidity, corporate cash holdings, and financial institution earnings risk. The first study examines the relationship between stock liquidity and the difference in domestic and foreign market prices for a sample of 650 international firms cross-listed on a U.S. stock exchange. The study exploits the 2001 change to decimalization pricing and the 2003 U.S. dividend tax cut as quasi-natural experiments and finds that ADR liquidity decreases the absolute value of the ADR premium. The paper documents a positive relationship between liquidity and price discovery as well as a liquidity effect on the price convergence between the ADRs and their underlying shares. The second study focuses on corporate cash holdings as a mechanism of risk management. The paper documents a diversification effect on cash for a large sample of international firms, and examines the impact of agency costs, financial constraints and product market competition on the relationship between diversification and cash holdings. The results show that weak product market competition can weaken or even reverse the negative diversification effect on cash holdings. Weak country-level shareholder protection helps explain the weak diversification effect to a smaller degree, whereas financial constraints strengthen the diversification effect. Further, the competition effect is stronger for innovative, high R&D intensity firms and for firms with high uncertainty of sales and productivity growth. The third study analyzes the impact of deposit insurance design on the earnings uncertainty of financial cooperatives. The 2008 amendment to the Financial Institutions Act in the province of British Columbia resulted in an economically and statistically significant decrease in the credit unions' earnings uncertainties. The policy spurred deposit growth, but instead of an increase in lending, credit unions grew their capital-to-asset ratio. The results support the hypothesis that an unlimited insurance coverage boosts depositors' confidence and increases the flow of funds to the insured cooperatives. The paper does not find support for the moral hazard hypothesis where full deposit insurance increases risk-taking and creates liquidity risk by attracting wholesale funds.
Author : Andrei I. Nikiforov
Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (67 download)
Download or read book Three Essays on Stock Market Liquidity and Earnings Seasons written by Andrei I. Nikiforov and published by . This book was released on 2009 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I identify the effects of earnings seasons (i.e., the clustering of earnings releases), on stock market liquidity and asset pricing. In the first essay, I document strong seasonal regularities associated with aggregate earnings announcements. Applying the large body of literature linking earnings announcements to liquidity effects, I argue that these earnings seasons create market-wide liquidity shocks and I show that both liquidity betas and liquidity risk change during earnings seasons In the second essay, I test the impact of earnings seasons on commonality in liquidity as measured by both spreads and depths. I find that commonality significantly decreases during the four weeks of each calendar quarter when most companies release their earnings. These findings contribute to the literature by identifying and examining the clustering effect of firm-specific information on commonality in liquidity. In the third essay, I extend the study of the liquidity effects of earnings seasons to a sample of 20 countries. I find that the international data corroborate both hypotheses. I also find that the aggregate quality of accounting information, and the duration and frequency of interim reporting periods are important determinants of the liquidity effects (both liquidity betas and commonality in liquidity) during earnings seasons.
Author : Brad Pasanek
Publisher : Routledge
ISBN 13 : 1317979990
Total Pages : 187 pages
Book Rating : 4.3/5 (179 download)
Download or read book Beyond Liquidity written by Brad Pasanek and published by Routledge. This book was released on 2013-08-21 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: ‘Liquidity’, or rather lack of it, lies at the heart of the ongoing global financial crisis. In this collection of essays, the metaphor of money as liquidity, and the model of crisis it entails, is deliberated by a range of scholars from economics, history, anthropology, literature, and sociology. This volume offers a rhetorical explanation of the social, cultural, and historical contexts in which metaphors of money are produced, circulate, and fail. These essays, first presented at "After the Crash, Beyond Liquidity," a conference on money and metaphors held at the University of Virginia, USA, in October of 2009, were drafted in the wake of global uncertainty, TARP bailouts, the Great Recession, programs of stimulus and austerity, and recurrent threats of sovereign default in the EU. They question the language of liquidity and flows that is characteristic of everyday business, exposing what metaphors of money hide and explaining why the idea of liquidity has proved so durable. This book was originally published as a special issue of the Journal of Cultural Economy.
