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Essays On Liquidity In Finance And Real Estate Markets
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Book Synopsis Essays on Liquidity in Finance and Real Estate Markets by : Qingqing Chang
Download or read book Essays on Liquidity in Finance and Real Estate Markets written by Qingqing Chang and published by . This book was released on 2013 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies liquidity and its relationship with stock returns and real estate markets. Liquidity has wide ranging effects on financial markets and the financial crisis highlighted the important role played by liquidity in finance and real estate markets. The objective of this dissertation research is to examine the characteristics of liquidity in different financial markets and to study the effect of innovations in liquidity on stock return volatility. First, using high-frequency trading data on publicly-traded real estate investment trusts (REITs) and trading data on commercial real estate assets, we document the transmission of a liquidity shock from public to private markets. Furthermore we examine the relationship between liquidity in real estate markets (both public and private markets) and macroeconomic variables. We also show how the transmission mechanism differs between public and private markets. Second, using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we are able to study the relationship between innovations in liquidity and stock-return volatility under the return-decomposition framework. We contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. This dissertation research aims to fill in the gaps in the existing empirical literature on liquidity and sheds light on the important relationship between liquidity and stock returns.
Book Synopsis Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets by : Daniel Ruf
Download or read book Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets written by Daniel Ruf and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.
Book Synopsis Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate by : Kimberly Fowler Luchtenberg
Download or read book Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate written by Kimberly Fowler Luchtenberg and published by . This book was released on 2013 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Liquidity in Financial Markets by : John Brendan McDermott
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:
Book Synopsis Liquidity Creation and Financial Fragility by : Christian Weistroffer
Download or read book Liquidity Creation and Financial Fragility written by Christian Weistroffer and published by Logos Verlag Berlin GmbH. This book was released on 2010 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: Open-end real estate funds (OEREFs) are the predominant vehicle in Germany for channeling private capital flows into commercial real estate markets. They transform longer-term investment projects into daily redeemable claims. To the extent that OEREFs stand ready to both issue new shares and redeem outstanding ones on a daily basis they provide valuable liquidity transformation. At the same time, they become susceptible to run phenomena. This dissertation analyzes the inherent fragility of open-end real estate funds in light of the German open-end fund crisis of 2005/06. The dissertation comprises three papers. The first paper explores how fund performance and other factors influenced capital flows into OEREFs before, during and after the German open-end fund crisis of 2005/06. The second paper looks at the valuation practice of OEREFs and assesses whether funds have suffered from a valuation problem. It finds evidence in support of the view that systematic deviations of appraised values from prices achieved in the market were at the heart of the 2005/06 German open-end fund crisis. The third paper relates findings from banking theory to OEREFs. It explores under which conditions the open-end fund contract resembles a demand deposit contract that is prone not only to panics but also to fundamental runs. The dissertation concludes by discussing policy options to mitigate the run problem.
Book Synopsis Essays on Liquidity in Financial Markets by : Jördis Hengelbrock
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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Liquidity in Financial Markets by : Pierre-Olivier Weill
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:
Book Synopsis Essays on Liquidity in Financial Markets by : Chitrupa Sudarshan Fernando
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:
Book Synopsis Essays on Liquidity in Financial Markets by : Ekaterina S. Chernobai
Download or read book Essays on Liquidity in Financial Markets written by Ekaterina S. Chernobai and published by . This book was released on 2005 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third paper investigates empirically the effect of house-buyers' expected housing tenure on the time to buy a house. A survey-based data set provides evidence of significant differences in average time-to-buy for various types of buyers with different future mobility preferences. Tests that produce these results use parametric and non-parametric techniques, and the results of both are compared. The confidence level in the results is almost always higher when both tests are corrected for variance heterogeneity in the investigated sub-samples. The results appear to be more significant for the first-time rather than repeat buyers.
Book Synopsis Essays on Real Estate and Financial Crisis by :
Download or read book Essays on Real Estate and Financial Crisis written by and published by . This book was released on 2014 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Markets with Frictions by : Christoph Ungerer
Download or read book Essays on Markets with Frictions written by Christoph Ungerer and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical treatment of market transactions in economics presumes that buyers and sellers engage in transactions instantly and at no cost. In a series of applications in the housing market, the labour market and the market for corporate bonds, this thesis shows that relaxing this assumption has important implications for Macroeconomics and Finance. The first chapter combines theory and empirical evidence to show that search frictions in the housing market imply a housing liquidity channel of monetary policy transmission. Expansionary monetary policy attracts buyers to the housing market, raising housing liquidity. Higher housing sale rates in turn allow lenders to threaten foreclosure more effectively, because the expected carrying costs on foreclosure inventory are lower. Ex-ante, this makes banks willing to offer larger loans, stimulating aggregate demand. The second chapter uses a heterogeneous firm industry model to explore how the macroeconomic response to a temporary employer payroll tax cut depends on the hiring and firing costs faced by firms. Controversially, the presence of non-convex labour adjustment costs suggests that tax cuts create fewer jobs in recessions. When firms hoard labour during downturns, they do not respond to marginal tax cuts by hiring additional workers. The third chapter develops a theory in which trader career concerns generate an endogenous transaction friction. Traders are reluctant to sell assets below historical purchase price, since realizing a loss signals to the employer that the trader is incompetent. The chapter documents empirically several properties of corporate bond transaction data consistent with this theory of career-concerned traders.
Book Synopsis Essays on Liquidity in Financial Markets by : Christoph Koser
Download or read book Essays on Liquidity in Financial Markets written by Christoph Koser and published by . This book was released on 2020 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation contributes to a better understanding of liquidity in financial markets. Relying on the latest proxies for liquidity and TAQ benchmark data, this dissertation investigates liquidity in financial markets from different perspectives and gives answers to crucial challenges when assessing the importance of liquidity; its time-varying commonality across assets and stock markets; its impact on asset pricing in abnormal market states and finally its dynamics and determinants on a daily basis. This study has implications for investors and market makers as part of risk management and portfolio diversification and for policy makers in the context of designing optimal regulatory frameworks to predict and prevent common sources of liquidity tightness in global financial markets. In the second chapter, I study commonality in liquidity and its association to market volatility. Taking on a global perspective on this matter and examining nine major stock markets, I first construct a novel and dynamic measure of commonality in liquidity. I show that liquidity commonality is present in global stock markets and increases parallel to crisis periods. This finding points towards abrupt changes in liquidity fundamentals and clearly provide evidence for demand- and supply-driven sources of commonality in liquidity (i.e. correlated trading behavior on institutional level paired with restrictions on funding capital) on a global scale. Driven by the well acknowledged findings of a positive relationship between volatility and illiquidity, I investigate the time-varying tie between common variation in liquidity and volatility. Using a dynamic granger-causality test, I find that global market volatility always causes commonality in liquidity while commonality in liquidity causes volatility only in sub-periods, spanning over the financial crisis and its aftermath period. In the third chapter, I examine the effect of systemic liquidity risk as a priced risk factor in asset pricing. Hereby, I challenge the previous literature in their finding of a linear relationship between systemic liquidity risk and asset prices. I show that systemic liquidity risk is not always a priced factor in the explanation of asset prices. I find that systemic liquidity risk and asset prices are negatively associated in bad market states. This finding can be explained by downward trended liquidity spirals, in other words, an interaction between demand and supply-sided commonality in liquidity, which cause a depression in asset pricing during bad market states. I also show that liquidity risk has a positive link to asset pricing in good market states, which is mainly associated with search-for-yield considerations. Finally, I document that there is no significant relationship between systemic liquidity risk and asset pricing during normal market swings. This finding supports the initial claim that market participants do not worry too much about the state of market-wide liquidity during regular times. In the fourth chapter, I investigate daily liquidity and trading activity of energy stocks traded at U.S. stock exchanges, categorized into five energy sectors, that is, oil and gas, coal mining, renewables, electric- and multi-utilities. Using TAQ (trades and quotes) data, I examine various dimensions of liquidity and trading - effective spreads, price impact of trades, number of trades and volume - on sectoral level. I document cross-sectional differences in the level of liquidity and trading across energy stock segments. I find that liquidity and trading is trended and exhibit serial dependency up to higher lags, similarly across sectors. There is a weekly pattern for trading and liquidity, both decline on Fridays, on average. I also identify a number of factors that affect trading and liquidity commonly across sectors, that is, general market movements, short-term momentum runs and overall stock market volatility, which points again towards the direction of correlated trading, amplified by institutional investors. Moreover, I show that trading and liquidity are sensitive to a widening Term Spread. I find a heterogeneous effect of the oil price on liquidity and trading activity, dependent on the energy segment. Despite controlling for stock market volatility, I observe that illiquidity and trading increase with higher levels of oil price volatility. Finally, I show that trading activity, both, in number of trade executions and share volume, increases for renewable and multi-utility stocks when climate change receives global media attention. Fast markets and increased trading make liquidity to be one of the top considerations in the smooth functioning of financial markets, especially in the light of financial distress and sudden, downward trended liquidity spirals, where liquidity adjusts to different equilibria levels. For future discussion, there is further need to address liquidity in its different dimensions and in the context of financial market quality, information efficiency and sentiment. This dissertation is yet another step for a more comprehensive knowledge on liquidity." -- TDX.
Book Synopsis Essays in Liquidity and Financial Markets by : Radu-Dragomir Manac
Download or read book Essays in Liquidity and Financial Markets written by Radu-Dragomir Manac and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investment Decisions on Illiquid Assets by : Jaroslaw Morawski
Download or read book Investment Decisions on Illiquid Assets written by Jaroslaw Morawski and published by Springer Science & Business Media. This book was released on 2009-02-14 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jaroslaw Morawski offers a practicable and theoretically well-founded solution to the problems encountered when investing in illiquid assets and develops a model of the liquidation process for this category of investments. The result is a coherent investment decision framework designed specifically for private real estate but applicable also to other illiquid assets.
Book Synopsis Empirical Essays on China's Financial Markets by : Sherena Sheng Huang
Download or read book Empirical Essays on China's Financial Markets written by Sherena Sheng Huang and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis thoroughly examines productive efficiency, productivity change andliquidity risk transmission in China's financial sector. The thesis covers a major periodof development in China that witnesses processes of marketization, privatisation andfinancial liberalisation from 1993 to 2013~2014. Three investigative chapters areempirical in nature. Chapter 2 employs risk-adjusted stochastic cost and profitfrontiers to estimate bank productive efficiency, which is a broader concept ofefficiency that includes X-efficiency, economies of scale, and economies of scope. Thechapter analyses the variation of these constituents at Chinese banks by bank size andownership type. It addresses the question "does size matter" by estimating therelationship between productive efficiency constituents and bank stabilitycomponents. The chapter records an improvement in each constituent of productiveefficiency by Chinese banks between 2003 and 2013. Despite this good outcome, therelationships with bank stability are less clear-cut. Whilst the results show X-efficiencyis positively associated with bank returns on assets (ROA), the relationship betweenX-efficiency and bank profit variation is inverse. This implies that those banks thatlose less potential profit to inefficiencies hold higher levels of profit volatility, and thisoffsets the effect on ROA, which produces an inverse relationship between Xefficiencyand bank stability. The same pattern of relationships exists for economies ofscope and bank stability, whereas economies of scale place a positive effect on bankstability. A liberalised and deregulated market intensifies competition among banks.Sufficient bank capital and stabilised revenue are a prerequisite to bank stability atbanks in all sizes. Banks are exposed in risk if pursuing cost minimisation withinadequate capital and volatile returns. Increasing returns to scale show assistance toaccumulate capital and prevent profit fluctuations at Chinese banks. But can it last?Chapter three first time evidences the impact of foreign strategic investment on bankproductivity change using a risk-adjusted cost frontier. The analytical work provesthat the productivity of Chinese banks grew by 14% per annum from 1993 to 2013, andthis growth is mainly contributed by size effect. It also reveals that bank technicalchange is driven by pure technical change rather than output augmenting and nonneutraltechnical change. A natural experiment proves the positive effects of the welldefinedcooperation framework between foreign strategic investors and domesticbanks. A greater productivity growth rate presents at banks that received foreignstrategic investment after the deregulation on foreign shareholdings taking place in2003. Thus, the well-defined strategic cooperation framework between overseasinvestors and domestic banks should be more encouraged in China. The thirdinvestigative study (chapter four) employs three liquidity indicators to identifycommonality in liquidity between financial institutions and real estate firms in China.The three liquidity indicators cover the impact of market capacity, transaction costand informational efficiency on market liquidity. The study uncovers a bi-directionalloop in liquidity between financial institutions and real estate firms with theinteraction becoming stronger between banks and real estate firms and in turbulentperiods. The overheated real estate market places pressure on affordability of Chineseresidents and heightens potential credit risks for financial institutions. Strong andfrequent liquidity co-movement between the two sectors shows greater probabilitiesto incur systematic liquidity risks. Hence monitoring such liquidity interplay betweenfinancial institutions and real estate firms may prevent liquidity risk transmission inthe future.
Book Synopsis Three essays on real estate finance by : Xiaolong Liu
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Macroeconomics and Financial Frictions by : Christine N. Tewfik
Download or read book Essays in Macroeconomics and Financial Frictions written by Christine N. Tewfik and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is comprised of three papers on the causes and consequences of the U.S. Great Recession. The emphasis is on the role that financial frictions play in magnifying financial shocks, as well as in informing the effectiveness of potential policies. Chapter 1, "Financial Frictions, Investment Delay and Asset Market Interventions," co-authored with Shouyong Shi, studies the role of investment delay in propagating different types of financial shocks, and how this role impacts the effectiveness of asset market interventions. The topic is motivated by the observation that, during the Great Recession, governments conducted large-scale asset market interventions. The aim was to increase the level of liquidity in the asset market and make it easier for firms to obtain financing. However, firms were observed to have delayed investment by hoarding liquid funds, part of which were obtained through the interventions. We construct a dynamic macro model to incorporate financial frictions and investment delay. Investment is undertaken by entrepreneurs who face liquidity frictions in the equity market and a collateral constraint in the debt market. After calibrating the model to the U.S. data, we quantitatively examine how aggregate activity is affected by two types of financial shocks: (i) a shock to equity liquidity, and (ii) a shock to entrepreneurs' borrowing capacity. We then analyze the effectiveness of government interventions in the asset market after such financial shocks. In particular, we compare the effects of government purchases of private equity and of private debt in the open market. In addition, we examine how these effects of government interventions depend on the option to delay investment. In Chapter 2, "Housing Liquidity and Unemployment: The Role of Firm Financial Frictions," I build upon the role that firms' ability to obtain funding plays in the severity of the Great Recession. I focus specifically on how the housing crisis reduced the ability of firms to obtain funding, and the consequences for unemployment. An important feature I focus on is the role of housing liquidity, or how easy it is to sell or buy a house. I analyze how an initial fall in housing market liquidity, linked to rising foreclosure costs for banks, affects labor market outcomes, which can have further feedback effects. I focus on the role that firm financial frictions play in these feedback effects. To this end, I construct a dynamic macro model that incorporates frictional housing and labor markets, as well as firm financial frictions. Mortgages are obtained from banks that incur foreclosure costs in the event of default. Foreclosure costs also affect the ease with which firms can borrow, and this influences their hiring decisions. I calibrate the model to U.S. data, and find that a rise in foreclosure costs that generates a 10% fall in the firm loan-to-output ratio results in a 3 percentage point rise in the unemployment rate. The rise in unemployment makes it more difficult for indebted owners to avoid defaulting on their mortgage. This rise in default, on the order of 20 percent, creates further slack in the housing market by both increasing the number of houses on the market and reducing the amount of buyers. Consequently, there are large drops in housing prices and in the size of mortgage loans. Notably, when firm financial frictions are absent, I observe a counter-factual fall in the unemployment rate, which mitigates the effects on the housing market, and even results in a fall in the mortgage default rate. The results highlight the importance of the impact of the housing market crisis on a firm's willingness to hire, and how firms' limited access to credit magnifies the initial housing shock. In Chapter 3, "Housing Market Distress and Unemployment: A Dynamic Analysis," I add to the contributions of my second paper, and extend the analysis to determine the dynamic effects of the housing crisis on unemployment. In Chapter 2, I focused on comparing stationary equilibria when there is a rise in the foreclosure costs associated with mortgage default. However, a full analysis must also take into account the dynamic effects of the shock. In order to do the dynamic analysis, I modify the model in my job market paper to satisfy the conditions of block recursivity. I do this by incorporating Hedlund's (2016) technique of introducing real estate agents in the housing market that match separately with buyers and sellers. Doing this makes the model's endogenous variables independent of the distribution of households and firms. Rather, the impact of the distribution is summarized by the shadow value of housing. This greatly improves the tractability of the model, and allows me to compute the dynamic response to a fall in a bank's ability to sell a foreclosed house, thus raising the costs of mortgage default. I find that the results are largely dependent on the size and persistence of the shock, as well as the level of firm financial frictions that are present. When firm financial frictions are high, as represented by the presence of an interest rate premium charged to firms, and the initial shock is large, the shock is transferred to firms via an endogenous rise in the cost of renting capital. Firms scale back on production and reduce employment. The rise in unemployment increases the debt burden for households with large mortgages. They can try and sell, but find it difficult to do so because they must sell at a high price to be able to pay off their debt. If they fail, they are forced to default, thus further raising the mortgage costs of banks, further reducing resources to firms, and propagating the initial shock. However, the extent of the propagation is limited; once the shock wears off, the economy recovers to its pre-crisis levels within two quarters. I discuss the reasons why, and what elements would be needed for greater persistence.
