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Learning from Prices, Liquidity Spillovers, and Market Segmentation
Cespa, Giovanni; Foucault, Thierry - C.E.P.R. Discussion Papers - 2011
We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity spillovers"). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for...
Persistent link: https://www.econbiz.de/10009003369
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Lehman Brothers: What Did Markets Know?
Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2014
On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...
Persistent link: https://www.econbiz.de/10011083604
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Aggregate Idiosyncratic Volatility
Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2010
portfolio diversification, return volatility and contagion. …
Persistent link: https://www.econbiz.de/10008784734
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The Role of Portfolio Constraints in the International Propagation of Shocks
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2008
phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …
Persistent link: https://www.econbiz.de/10005791401
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Asset fire sales and purchases and the international transmission of financial shocks
Jotikasthira, Chotibhak; Lundblad, Christian T; … - C.E.P.R. Discussion Papers - 2009
We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate...
Persistent link: https://www.econbiz.de/10008458295
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Wealth Transfers, Contagion and Portfolio Constraints
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005
wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …
Persistent link: https://www.econbiz.de/10005504325
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Systemic Risk: A Survey
de Bandt, Olivier; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000
related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10005114152
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Asymmetric Information in the Stock Market: Economic News and Co-movement
Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006
included in the regression; we provide evidence in the paper that this effect does not derive from contagion as commonly …
Persistent link: https://www.econbiz.de/10005666949
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Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - C.E.P.R. Discussion Papers - 2015
We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The advantage of this approach, relative to the existing...
Persistent link: https://www.econbiz.de/10011145396
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Long-run bulls and bears
Albuquerque, Rui; Eichenbaum, Martin; Papanikolaou, Dimitris - C.E.P.R. Discussion Papers - 2015
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...
Persistent link: https://www.econbiz.de/10011145407