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Author : Oved Yosha
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (265 download)
Download or read book Essays on the Structure of Financial Markets written by Oved Yosha and published by . This book was released on 1992 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byoung-Jo Chun
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.:/5 (342 download)
Download or read book Essays on the Structure and Regulation of Financial Markets written by Byoung-Jo Chun and published by . This book was released on 1995 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 133 pages
Book Rating : 4.:/5 (925 download)
Download or read book Essays in capital structure theory and financial markets written by and published by . This book was released on 2001 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alain Durré
Publisher : Presses univ. de Louvain
ISBN 13 : 2930344296
Total Pages : 188 pages
Book Rating : 4.9/5 (33 download)
Download or read book Essays on the Interaction between Monetary Policy and Financial Markets written by Alain Durré and published by Presses univ. de Louvain. This book was released on 2003 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the consequences of financial bubbles on economic activity, it is still an open question to what extent the monetary policy should react to sharp fluctuations of equity prices. This dissertation attempts to contribute to the debate with some theoretical and empirical analyses of the relationship between monetary policy and financial markets. Chapter 1 incorporates the effect of real equity prices on aggregate demand in a forward-looking expectations neo-Keynesian model. This effect arises either from a wealth effect or from a change in consumers' confidence. The objective function of monetary authorities depends on the output gap and the deviation of expected inflation from the target. A numerical simulation, based on US data, illustrates the quantitative importance of the financial market channel for various exogenous shocks. In Chapter 2, the variation of equity prices enters explicitly in the loss function of the monetary authorities while, at the same time, it affects aggregate demand. This modifies the optimal monetary policy by increasing the volatility of the nominal interest rate. Chapter 3 examines how the launch of the European single currency has affected expectations on future monetary policy by comparing the econometric results of a co-integrated VAR model on pre- and post- January 1999 data. Chapter 4 deals with diverse methodological issues related to the estimation of the Taylor rule, which represents Central Bank decisions by a single and stable function. Several interesting results emerge from the modelling of the Fed funds rate over the period 1987-2002. In particular, assuming a discontinuous and asymmetric response of the Federal Reserve to fluctuations of equity prices, corrects the apparent instability of the rule.
Author : David Cimon
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)
Download or read book Essays on Financial Market Structure written by David Cimon and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I model three innovations in modern financial markets. First, I study conflict of interest in the relation between brokers and investors. Second, I study Exchange Traded Funds, and their impact on their constituent assets. Finally, I study crowdfunding as a means for entrepreneurs to resolve uncertainty regarding demand for their projects. Many investors do not access equity markets directly; instead they rely on a broker who receives their order and submits it to a trading venue. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. Investors want their orders to be filled with the highest probability, while brokers choose venues in order to maximize their own profits. I construct a model of limit order trading in which brokers serve as an agent for investors who wish to access equity markets. In just over 20 years, exchange traded funds (ETFs) have gone from a new financial innovation to an industry representing over $1.3 trillion CAD in assets under management. With this rapid rise in popularity, questions naturally arise as to whether ETFs affect the markets for the underlying assets from which they are formed. In this chapter I present a static model of informed limit order book trading in which market participants trade in either cash markets or basket securities ETFs. Since its advent less than 10 years ago, crowdfunding has grown to a multi-billion dollar industry. There has been debate over whether crowdfunding has competed with or complemented traditional financing methods such as banks and venture capital. One feature of crowdfunding, is a shifting of the risk from the project from the traditional venues, to these consumers themselves. This chapter examines the role of crowdfunding in the financing process for entrepreneurs, specifically in regards to the resolution of uncertainty regarding demand for their projects.
Author : Mr. Haoxiang Zhu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (794 download)
Download or read book Essays on Financial Market Structure and Design written by Mr. Haoxiang Zhu and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this doctoral dissertation, I study financial market structure and design, namely how institutional features of financial markets affect price discovery, liquidity, search behavior, efficiency, and welfare. This dissertation consists of three chapters. The first chapter studies dark pools and price discovery. Dark pools are equity trading systems that do not publicly display orders. Orders in dark pools are matched within the exchange bid-ask spread without a guarantee of execution. Because informed traders tend to have common information regarding the asset value, they are more likely to cluster on the heavy side of the market and therefore face a lower execution probability in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, whereas dark pools are more attractive to uninformed traders. Under natural conditions, adding a dark pool alongside an exchange concentrates price-relevant information into the exchange and improves price discovery. The second chapter offers a dynamic model of opaque over-the-counter markets. I build a theoretical model of OTC markets, in which a seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unattractive prices and thus worsens the visited buyer's inference regarding the asset value. This chapter is now published at the Review of Financial Studies, Volume 25, Issue 4, April 2012. The third chapter studies settlement auctions for credit default swaps (CDS). This chapter is the joint work with Songzi Du, a fellow Doctoral Candidate at the Graduate School of Business, Stanford University. We find that the one-sided design of CDS auctions used in practice gives CDS buyers and sellers strong incentives to distort the final auction price, in order to maximize payoffs from existing CDS positions. Consequently, these auctions tend to overprice defaulted bonds conditional on an excess supply and underprice defaulted bonds conditional on an excess demand. We propose a double auction to mitigate this price bias. We find the predictions of our model on bidding behavior to be consistent with data on CDS auctions.
Author : James Peter Weston
Publisher :
ISBN 13 :
Total Pages : 274 pages
Book Rating : 4.:/5 (452 download)
Download or read book Three Essays in Financial Market Structure written by James Peter Weston and published by . This book was released on 2000 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nicola Cetorelli
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (819 download)
Download or read book Essays on Financial Market Structure and Economic Growth written by Nicola Cetorelli and published by . This book was released on 1996 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory William Weitzner
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (124 download)
Download or read book Essays in Information and Contracts in Financial Markets written by Gregory William Weitzner and published by . This book was released on 2020 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation contains two chapters. In chapter one I explore the relationship between debt maturity and information production in a theoretical model. In my model, long-term financing creates an excessive tendency for financiers to acquire information and screen out lower quality borrowers. In contrast, short-term financing deters information production at origination but induces it when firms are forced to liquidate, depressing the market value of assets due to adverse selection. Through the feedback effect between firms' maturity structures and asset prices, increases in uncertainty can impair the aggregate volume of short-term financing and investment. The analysis can jointly rationalize i) the widespread use of short-term debt by financial firms, ii) periodic disruptions in short-term funding markets and iii) regulations that curb short-term funding markets in normal times and support them in periods of market stress. In the second chapter, I analyze information externalities in the interbank market. In the model, banks use their information to adjust the size of loans rather than the prices they offer to counterparties because of adverse selection. Each banks' individual rationing decision creates an information externality that increases the efficiency of trade. This information externality occurs even though information is not shared and banks compete with each other. However, banks do not internalize the cost their contracts impose on other banks through the counterparty's likelihood of default, which creates a counteracting negative externality that exacerbates as the number banks increases. The model provides a microfoundation for interbank discipline and has implications for the optimal structure of interbank markets
Author : Prasad Krishnamurthy
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (785 download)
Download or read book Essays on the Microeconomics of Financial Market Structure and Performance written by Prasad Krishnamurthy and published by . This book was released on 2011 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does financial market structure affect business growth and consumer welfare? Microeconomic theory presumes that market outcomes are a result of the equilibrium interaction of agents with differing objectives. This dissertation develops and tests microeconomic models of the credit and deposit markets . Parts 1 and 2 emphasize the importance of asymmetric information and strategic interaction, respectively, in determining financial market structure and performance. Part 1 provides new evidence on the relationship between financial market structure and firm growth. I develop an equilibrium model of firms who can access debt capital and capital from banks that monitor their borrowers. In this model, (1) shifts in the supply of bank credit have the largest effect on firms who have just enough capital to acquire finance, and (2) financial integration dampens the quantity effects of shocks to credit supply, but exacerbates the quantity effects of shocks to credit demand. I test these hypotheses by exploiting the history of bank-branching deregulation in the United States. I use the differential timing of state deregulation to trace the causal channel that runs from financial integration to firm growth. I find that for mid-sized establishments, financial integration lowered the association between local credit supply and business growth. My findings suggest that the excess volatility in business growth in unintegrated markets may entail significant allocative inefficiencies. Part 2 investigates the contribution of deposit market competition and consumer preferences to banking market structure and pricing. I develop a general model of spatial competition where consumers' higher willingness to pay for firms with more locations generates an externality in firms' location decisions. I characterize the equilibrium of this model and provide novel analytical results for prices, markups and limiting market shares. I then consider the application of this model to the market for bank deposits. The model generates predictions on (1) the density of branches, (2) the pattern of within-market and across-market concentration, (3) the relationship between concentration and market size, (4) the relationship between branching networks and deposit prices, and (5) the dispersion of deposit prices. I utilize the history of bank branch deregulation to test the predictions of this model by comparing free branching to unit branching--one bank/one branch--states. The empirical tests are broadly consistent with the hypothesis that strategic competition in branch networks plays a role in determining market structure.
Author :
Publisher :
ISBN 13 :
Total Pages : 412 pages
Book Rating : 4.:/5 (181 download)
Download or read book Essays on Financial Markets written by and published by . This book was released on 2007 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mitchell Berlin
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (245 download)
Download or read book Essays on Financial Markets and Institutions written by Mitchell Berlin and published by . This book was released on 1991 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tatevik Zohrabyan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (61 download)
Download or read book Essays on Time Series and Causality Analysis in Financial Markets written by Tatevik Zohrabyan and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market and its various components are currently in turmoil. Many large corporations are devising new ways to overcome the current market instability. Consequently, any study fostering the understanding of financial markets and the dependencies of various market components would greatly benefit both the practitioners and academicians. To understand different parts of the financial market, this dissertation employs time series methods to model causality and structure and degree of dependence. The relationship of housing market prices for nine U.S. census divisions is studied in the first essay. The results show that housing market is very interrelated. The New England and West North Central census divisions strongly lead house prices of the rest of the country. Further evidence suggests that house prices of most census divisions are mainly influenced by house price changes of other regions. The interdependence of oil prices and stock market indices across countries is examined in the second essay. The general dependence structure and degree is estimated using copula functions. The findings show weak dependence between stock market indices and oil prices for most countries except for the large oil producing nations which show high dependence. The dependence structure for most oil consuming (producing) countries is asymmetric implying that stock market index and oil price returns tend to move together more during the market downturn (upturn) than a market boom (downturn). In the third essay, the relationship among stock returns of ten U.S. sectors is studied. Copula models are used to explore the non-linear, general association among the series. The evidence shows that sectors are strongly related to each other. Energy sector is relatively weakly connected with the other sectors. The strongest dependence is between the Industrials and Consumer Discretionary sectors. The high dependence suggests small (if any) gains from industry diversification in U.S. In conclusion, the correct formulation of relationships among variables of interest is crucial. This is one of the fundamental issues in portfolio analysis. Hence, a thorough examination of time series models that are used to understand interactions of financial markets can be helpful for devising more accurate investment strategies.
Author : Robert Lee Heinkel
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (35 download)
Download or read book Essays on Financial Markets with Asymmetric Information written by Robert Lee Heinkel and published by . This book was released on 1978 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tal Moshe Fishman
Publisher :
ISBN 13 : 9781109946642
Total Pages : 270 pages
Book Rating : 4.9/5 (466 download)
Download or read book Essays on the Efficiency of Financial Markets written by Tal Moshe Fishman and published by . This book was released on 2007 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents theory and evidence from three independent perspectives on the informational efficiency of financial markets.
Author : Bernd Schlusche
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (724 download)
Download or read book Essays on the Efficiency of Financial Markets written by Bernd Schlusche and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dawid Brychcy
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on Financial Markets written by Dawid Brychcy and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
