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Informed Trading In Hybrid Bond Markets
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Book Synopsis Informed Trading in Hybrid Bond Markets by : Siri Valseth
Download or read book Informed Trading in Hybrid Bond Markets written by Siri Valseth and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the impact of pretrade transparency on trading activity in an environment where dealers, informed and uninformed alike, can choose between an electronic limit order book (LOB) and an over-the-counter (OTC) market. By investigating bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the value of their information by choosing the immediacy of the LOB when trades contain information. This suggests that OTC trades are exposed to a leakage of information to other dealers.
Book Synopsis Informed Trading and Its Implications for Corporate Bond Pricing by : Xing Zhou
Download or read book Informed Trading and Its Implications for Corporate Bond Pricing written by Xing Zhou and published by . This book was released on 2008 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Informed Trading in a Corporate Bond Market by : Denis Lapitski
Download or read book Informed Trading in a Corporate Bond Market written by Denis Lapitski and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Informed Trading in Government Bond Markets by : Dong Lou
Download or read book Informed Trading in Government Bond Markets written by Dong Lou and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Informed and Strategic Order Flow in the Bond Markets by : Paolo Pasquariello
Download or read book Informed and Strategic Order Flow in the Bond Markets written by Paolo Pasquariello and published by . This book was released on 2006 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Informed Trading and the Dynamics of Client-dealer Connections in Corporate Bond Markets by : Robert Czech
Download or read book Informed Trading and the Dynamics of Client-dealer Connections in Corporate Bond Markets written by Robert Czech and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Introduction to Bond Markets by : Moorad Choudhry
Download or read book An Introduction to Bond Markets written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes and defines bonds within the context of the capital markets and the different types of bonds that are traded. It includes a detailed look at the analytical techniques used in the market by traders and fund managers. This new edition will update the section on swaps and risk management, update all exercises and examples, add a new section on credit derivatives, add a section on structured finance securities & add a section on trading. Contents also include: Bond yield Measurement, Interest Rate Risk, The UK gilt market and corporate debt markets, Risk Management, Off-balance sheet instruments, including swaps and options, and Overseas and emerging markets.
Book Synopsis Bond Market Securities by : Moorad Choudhry
Download or read book Bond Market Securities written by Moorad Choudhry and published by Financial Times/Prentice Hall. This book was released on 2001 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors need to be fully conversant with the differences in the way that bonds are structured, valued and traded. "Bond Market Securities" contains a wide range of methodologies that will help the reader to gain a good understanding of fixed income securities and some of their associated derivatives. "Bond Market Securities" investigates the fundamentals of fixed income analysis, reviewing the latest research and presenting it in an accessible way that is suitable for practitioners and graduate students alike. The research is summarized in a way that allows readers to apply results to their individual requirements. Important subjects are covered in a straightforward style, using only essential mathematics, while further references are listed in full so that the reader may undertake further research. Topics covered include: Bond mathematics Spot and forward rates Yield curve fitting techniques Term structure models Credit derivatives in the fixed income markets Stochastic models and option pricing Hybrid securities Forwards and futures Market trading considerations and techniques Mortgage-backed securities. Written by a debt markets professional with many years' experience trading bonds in the markets, the book focuses on the international nature of these instruments, allowing you to apply the techniques and applications covered in the book in every debt capital market, irrespective of geographical location. "Bond Market Securities" provides a concise and accessible description of the main elements of the markets, the instruments used and their applications, and will be ofvaluable use to both the experienced practitioner and the bond market novice. ""Bond Market Securities" is accessible to both scholars and practitioners, but sacrifices little in quantitative rigour or institutional detail. It will be added to my graduate reading lists"-- Professor Steve Satchell, Faculty of Economics and Politics, Cambridge University "In bond markets it is easy to overcomplicate things with too much jargon, too many technical terms and too many long mathematical formulae. Moorad's book brings refreshing clarity to the subject, helping show how (and why) these markets really work."-- Peter Matthews, Senior Credit Trader and Head of FRN Trading, ABN Amro Bank NV "Moorad is a rare combination - technically and intellectually brilliant and blessed with the personality and ability to communicate effectively with the rest of us. He has the ability to demystify the seemingly most complex concepts and an enthusiasm for his subject that shines through his writing and captures the reader's interest."-- Martin Barber, Partner, KPMG Consulting
Book Synopsis The Handbook of Hybrid Securities by : Jan De Spiegeleer
Download or read book The Handbook of Hybrid Securities written by Jan De Spiegeleer and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators
Book Synopsis Market Liquidity by : Thierry Foucault
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Book Synopsis Tricks of the Trade? Pre-Issuance Price Maneuvers by Underwriter-Dealers by : Jun Kyung Auh
Download or read book Tricks of the Trade? Pre-Issuance Price Maneuvers by Underwriter-Dealers written by Jun Kyung Auh and published by . This book was released on 2019 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the trading of dealers around new bond issues underwritten by affiliates using a complete matched record of U.S. bond market transactions, ownership structure, and bond issues from 2005 to 2015. Compared to dealers unaffiliated to the lead underwriter, affiliated dealers pay 30-60 basis points more for the issuer's preexisting bonds -- prior to, during, and after the issuance event. We interpret this phenomenon as price maneuvers aimed at lowering the reference yield for new issue investors. By examining dealer inventories and profits, we find no support for alternative explanations such as hedging, informed trading, or competitive advantage in market-making.
Book Synopsis A Re-Assessment of the Importance of Accounting Data to the Corporate Bond Market by : Malachy Edward English
Download or read book A Re-Assessment of the Importance of Accounting Data to the Corporate Bond Market written by Malachy Edward English and published by . This book was released on 2015 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation evaluates the importance of the uncapped Enhanced TRACE dataset that has previously been rarely used within academic literature. In doing so I answer two important questions, one relevant to academic researchers, and one relevant to financial regulators. First, how economically significant are the differences between the Enhanced TRACE dataset and the Historic TRACE dataset that has been used previously? Secondly, are these differences a result of informed trading, and thus potentially in need of the protection provided by the caps currently imposed by TRACE? I find striking differences between the two datasets. Hidden volume in the periods preceding earnings announcements occurs frequently and is large in size, often exceeding 30% of total volume in the period. Despite this, I find little evidence to suggest that this trading volume is driven by informed investors. The hidden volume shows little ability to anticipate the news in earnings announcements and appears to be somewhat randomly distributed throughout time. My research suggests that researchers should move away from the Historic TRACE dataset and instead utilize the new Enhanced TRACE dataset when examining corporate bond markets. In addition, my research, suggests that large block trades typically are not informed. This provides preliminary evidence supporting the view, held by many market participants, that regulators should remove the currently imposed TRACE dissemination caps. My research supports the claims of these market participants that the caps simply inhibit investors from accurately assessing the quality of trade execution they have received from broker-dealers.
Book Synopsis Informed and Strategic Order Flow in the Bond Market by : Clara Vega
Download or read book Informed and Strategic Order Flow in the Bond Market written by Clara Vega and published by . This book was released on 2006 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the role private and public information play in the U.S. Treasury bond price discovery process. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions, information heterogeneity and imperfect competition among informed traders. We test its equilibrium implications by studying the response of 2-year, 5-year, and 10-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. Consistent with the stylized model, we find that unanticipated order flow explains a bigger portion of bond yield changes when the dispersion of beliefs across informed traders is high and public announcements are noisy.
Book Synopsis Fundamentals of the Bond Market by : Esme Faerber
Download or read book Fundamentals of the Bond Market written by Esme Faerber and published by McGraw Hill Professional. This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation Understand the ins and outs of today's surprisingly versatile bond marketplaceAs stocks continue their roller-coaster ride, nervous investors will be looking at bonds. FUNDAMENTALS OF THE BOND MARKET gives you the tools you need to master this complex market so you can diversify your portfolio, and get reliable income and safety of principal. Author Esme Faerber has packed this guide with examples, quizzes, checklists, and plain-English explanations to enhance your understanding of everything from the basics of buying and selling to bond ratings, government and international securities, call and convertible features, portfolio management, and more. Before you risk money in real-time trading, let this hands-on tool bring you up to speed on: *Three steps that determine the best bond mutual fund for any investor *Corporate, Municipal, Convertible and Zero-Coupon Bonds - which to buy for individual portfolios *Treasury securities - how and why to invest in T-bills, notes, and bonds *Tips of the Trade - techniques to calculate yields, buy and sell different types of bonds, and more.
Book Synopsis Europe's Hidden Capital Markets by : Jean-Pierre Casey
Download or read book Europe's Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Book Synopsis The Microstructure of Government Securities Markets by : Mr.Peter Dattels
Download or read book The Microstructure of Government Securities Markets written by Mr.Peter Dattels and published by International Monetary Fund. This book was released on 1995-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.
Book Synopsis Informed Traders as Liquidity Providers by : Alexandra Hachmeister
Download or read book Informed Traders as Liquidity Providers written by Alexandra Hachmeister and published by Springer Science & Business Media. This book was released on 2007-11-03 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alexandra Hachmeister’s thesis empirically analyzes and positively answers the question whether informed traders provide liquidity in an open limit order book. The analyses include a detailed market description of the German equity market, a new methodological approach for the identification of informed traders as well as the analysis of the individual liquidity providing and demanding behavior of the identified informed traders.
