ERN: Europe (Developed Markets) (Topic)最新文献

Revisiting Index Methodology for Thinly Traded Stock Market. Case: Helsinki Stock Exchange 重新审视交易清淡的股票市场的指数方法。案例:赫尔辛基证券交易所

ERN: Europe (Developed Markets) (Topic) Pub Date : 2021-01-08 DOI: 10.2139/ssrn.3716682

M. Vaihekoski

引用次数: 3

Carbon Home Bias of European Investors 欧洲投资者的碳家乡偏好

ERN: Europe (Developed Markets) (Topic) Pub Date : 2020-06-22 DOI: 10.2139/ssrn.3632723

Martijn Adriaan Boermans, Rients Galema

引用次数: 5

Simulating Stress in the UK Corporate Bond Market: Investor Behaviour and Asset Fire-Sales 模拟英国公司债券市场的压力:投资者行为与资产甩卖

ERN: Europe (Developed Markets) (Topic) Pub Date : 2019-06-14 DOI: 10.2139/ssrn.3404234

{"title":"Simulating Stress in the UK Corporate Bond Market: Investor Behaviour and Asset Fire-Sales","authors":"","doi":"10.2139/ssrn.3404234","DOIUrl":"https://doi.org/10.2139/ssrn.3404234","url":null,"abstract":"We build a framework to simulate stress dynamics in the UK corporate bond market. This quantifies how the behaviours and interactions of major market participants, including open-ended funds, dealers, and institutional investors, can amplify different types of shocks to corporate bond prices. We model market participants’ incentives to buy or sell corporate bonds in response to initial price falls, the constraints under which they operate (including those arising due to regulation), and how the resulting behaviour may amplify initial falls in price and impact market functioning. We find that the magnitude of amplification depends on the cause of the initial reduction in price and is larger in the case of shocks to credit risk or risk-free interest rates, than in the case of a perceived deterioration in corporate bond market liquidity. Amplification also depends on agents’ proximity to their regulatory constraints. We further find that long-term institutional investors (eg pension funds) only partially mitigate the amplification due to their slower-moving nature. Finally, we find that shocks to corporate bond spreads, similar in magnitude to the largest weekly moves observed in the past, could trigger asset sales that may test the capacity of dealers to absorb them.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123778064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

It Only Takes a Few Moments to Hedge 对冲只需要几分钟

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-09-13 DOI: 10.2139/ssrn.3086538

Andrea Barletta, Paolo Santucci de Magistris, D. Sloth

引用次数: 4

Financial Markets Behaviour Around ECB Announcements 围绕欧洲央行公告的金融市场行为

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-06-01 DOI: 10.2139/ssrn.3171266

R. Bandelli, Meng. Guo

引用次数: 0

The Fire-Sale Channels of Universal Banks in the European Sovereign Debt Crisis 欧洲主权债务危机中全能银行的甩卖渠道

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-05-24 DOI: 10.2139/ssrn.3208722

Giulio Bagattini, Falko Fecht, P. Weber

{"title":"The Fire-Sale Channels of Universal Banks in the European Sovereign Debt Crisis","authors":"Giulio Bagattini, Falko Fecht, P. Weber","doi":"10.2139/ssrn.3208722","DOIUrl":"https://doi.org/10.2139/ssrn.3208722","url":null,"abstract":"We use a unique security-level data set to analyze correlations in bond trading of banks, their respective retail customers and their affiliated mutual funds. Matching banks' proprietary holdings with the holdings of their funds and their retail customers for the period 2009-2016 at the security level, we find evidence that banks sold off risky euro-area sovereign bonds to both their retail customers and their affiliated mutual funds (particularly their public funds) during the European sovereign debt crisis. Overall, this enabled banks with affiliated mutual funds to sell off larger amounts of their risky sovereign bond holdings, while bank-affiliated mutual funds acquired more risky sovereign bonds compared to their unaffiliated peers. The larger the risky sovereign bond position a fund acquired from its parent bank, the lower are the fund's short-term raw returns controlling for the risky bonds the fund overall acquired. Our findings show that banks use their customers portfolio and their affiliated funds as liquidity provider when they sell off their risk bonds without paying the funds the adequate liquidity premium. On the one hand, this points to a severe conflict of interest between banks' own account trading and their asset and wealth management services. On the other hand, it highlights that the severity of fire-sale contagion depends on the organizational structure of the financial sector.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133598449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Pension Funds and IPO Pricing. Evidence from a Quasi-Experiment. 养老基金和IPO定价。准实验证据。

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-04-26 DOI: 10.2139/ssrn.3152562

Lukasz K. Langer, Piotr Langer, Paulina Roszkowska

引用次数: 0

Patience is a Virtue - In Value Investing 耐心是一种美德——价值投资

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-03-21 DOI: 10.2139/ssrn.3146848

T. Hens, K. Schenk-Hoppé

引用次数: 7

Current Account Imbalances, Household Consumption and Debt in the Euro Area: A Tale of Two Financial Liberalizations 欧元区的经常账户失衡、家庭消费和债务:两个金融自由化的故事

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-03-01 DOI: 10.2139/ssrn.3157557

B. Marzinotto

引用次数: 0

MIFID, French Equity Markets Fragmentation and Intraday Volatilities: A Network Analysis MIFID，法国股票市场分割和日内波动:一个网络分析

ERN: Europe (Developed Markets) (Topic) Pub Date : 2018-01-30 DOI: 10.2139/ssrn.3113142

Cécile Bastidon

{"title":"MIFID, French Equity Markets Fragmentation and Intraday Volatilities: A Network Analysis","authors":"Cécile Bastidon","doi":"10.2139/ssrn.3113142","DOIUrl":"https://doi.org/10.2139/ssrn.3113142","url":null,"abstract":"The implementation of the MiFID Directive in November 2007 results in the end of monopolies of European stock exchanges. Thus it introduces trades fragmentation: listed securities are no longer solely traded in the market which first listed them, but also in other stock exchanges or trading platforms. We propose an empirical study of the relationship between trades fragmentation and the intraday volatilities of the stocks of the CAC40 index, using a network analysis. The relationships between the volatilities of the stocks are measured by topological indicators from the econophysics literature, with three superiods: prior to the introduction of competition (2000/01-2007/11), during the transitory period of rising fragmentation (2007/12-2010/01), and after the stabilization (2010/02-2015/06). Fragmentation is measured by the reference index of FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the individual stock level, we show that fragmentation also affects the structure of the system. In particular, the intraday volatilities of the stocks of the CAC40 are all the more connected to the rest of the network that their level of fragmentation is high and stable. In addition, financial stocks volatilites show both an increasing intra-sectoral integration and a decreasing inter-sectoral integration, which does not allow for straightforward bail-in recommendations as regards policy choices in the context of crises resolution.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122548521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0