LIF-SAFE Working Papers: Recent submissions

Anzeige der Dokumente 101-120 von 334

    • Debt Holder Monitoring and Implicit Guarantees: Did the BRRD Improve Market Discipline? 

      Cutura, Jannic Alexander (2018-09-25)
      This paper argues that the introduction of the Banking Recovery and Resolution Directive (BRRD) improved market discipline in the European bank market for unsecured debt. The different impact of the BRRD on bank bonds ...

    • Liquidity Provider Incentives in Fragmented Securities Markets 

      Clapham, Benjamin; Gomber, Peter; Lausen, Jens; Panz, Sven (2018-07-31)
      We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ...

    • Lighting up the Dark: Liquidity in the German Corporate Bond Market 

      Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; Schneider, Michael; Subrahmanyam, Marti G. (2018-09-17)
      "We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...

    • Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk 

      Harenberg, Daniel (2018-09-17)
      This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy ...

    • Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections 

      Panzica, Roberto Calogero (2018-08-08)
      The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...

    • Liquidity provision: Normal times vs Crashes 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2019-10-29)
      We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...

    • Stock Price Crashes: Role of Slow-Moving Capital 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2018-07-16)
      We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...

    • Central Bank-Driven Mispricing 

      Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2018-10-01)
      We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...

    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...

    • Portfolio Similarity and Asset Liquidation in the Insurance Industry 

      Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, Stanislava; Pelizzon, Loriana; Getmansky, Mila (2018-07-30)
      An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ...

    • Quantifying Inertia in Retail Deposit Markets 

      Deuflhard, Florian (2018-03-01)
      This paper investigates inertia within and across banks in retail deposit markets using detailed panel data on consumer choices and account characteristics. In a structural choice model, I find that costs of inertia are ...

    • Reviving the Shadow Banking Chain in Europe: Regulatory Agency, Technical Complexity and the Dynamics of Co-Habitation 

      Endrejat, Vanessa; Thiemann, Matthias (2018-06-01)
      In recent years European financial regulation has experienced a tremendous reorientation with respect to the shadow banking system, which manifested first and foremost in its reframing as market-based finance. Initially ...

    • Endogenous Retirement Behavior of Heterogeneous Households Under Pension Reforms 

      Börsch-Supan, Axel; Härtl, Klaus; Leite, Duarte; Ludwig, Alexander (2018-04-25)
      We propose a unified framework to measure the effects of different reforms of the pension system on retirement ages and macroeconomic indicators in the face of demographic change. A rich overlapping generations (OLG) model ...

    • Local Peer Effects and Corporate Investment 

      Bao, Yangming; Goetz, Martin (2018-07-07)
      We examine how a firms' investment behavior affects the investment of a neighboring firm. Economic theory yields ambiguous predictions regarding the direction of firm peer effects and consistent with earlier work, we find ...

    • Client Involvement in Expert Advice: Antibiotics in Finance? 

      Hackethal, Andreas; Laudenbach, Christine; Meyer, Steffen; Weber, Annika (2018-07-23)
      We use minutes from 17,000 financial advisory sessions and corresponding client portfolio data to study how client involvement affects advisor recommendations and portfolio outcomes. We find that advisors confronted with ...

    • Only Time will Tell: A Theory of Deferred Compensation 

      Hoffmann, Florian; Inderst, Roman; Opp, Marcus M. (2018-08-09)
      This paper provides a complete characterization of optimal contracts in principal-agent settings where the agent's action has persistent effects. We model general information environments via the stochastic process of the ...

    • Financial Literacy and Socialist Education: Lessons from the German Reunification 

      Davoli, Maddalena; Hou, Jia (2018-07-01)
      A growing body of literature shows the importance of financial literacy in households' financial decisions. However, fewer studies focus on understanding the determinants of financial literacy. Our paper fills this gap by ...

    • Pricing Sin Stocks: Ethical Preference vs. Risk Aversion 

      Colonnello, Stefano; Curatola, Giuliano; Gioffré, Alessandro (2018-06-14)
      We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading ...

    • The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective 

      Huszár, Zsuzsa R.; Simon, Zorka (2018-06-15)
      In the last decade, central bank interventions, flights to safety, and the shift in derivatives clearing resulted in exceptionally high demand for high quality liquid assets, such as German treasuries, in the securities ...

    • All Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation 

      Ibrocevic, Edin; Thiemann, Matthias (2018-06-01)
      In this study we investigate which economic ideas were prevalent in the macroprudential discourse post-crises in order to understand the availability of ideas for reform minded agents. We base our analysis on new findings ...