We study the impact that two trading rule changes in the interdealer spot foreign exchange market, a reduction in the "tick size'' and a subsequent increase, had on the trading behavior of various types of market participants. We find that the most notable impact of the tick size reduction was a substantial increase in the liquidity demand of high-frequency traders (HFTs), not the decrease in their liquidity provision predicted by recent literature. We show that this change in behavior was linked to the richer information environment that arose after the tick size reduction and to the ability of faster traders to exploit it. Following the tick size decrease, and owing importantly to the increase in liquidity consumption by HFTs, the role of the spot market in price discovery dropped relative to that of the futures market. This points to the need for a balanced market ecology in financial markets where fast and slow traders coexist.
{"title":"What makes HFTs tick? Tick size changes and information advantage in a market with fast and slow traders","authors":"A. Chaboud, Avery Dao, Clara Vega","doi":"10.2139/ssrn.3407970","DOIUrl":"https://doi.org/10.2139/ssrn.3407970","url":null,"abstract":"We study the impact that two trading rule changes in the interdealer spot foreign exchange market, a reduction in the \"tick size'' and a subsequent increase, had on the trading behavior of various types of market participants. We find that the most notable impact of the tick size reduction was a substantial increase in the liquidity demand of high-frequency traders (HFTs), not the decrease in their liquidity provision predicted by recent literature. We show that this change in behavior was linked to the richer information environment that arose after the tick size reduction and to the ability of faster traders to exploit it. Following the tick size decrease, and owing importantly to the increase in liquidity consumption by HFTs, the role of the spot market in price discovery dropped relative to that of the futures market. This points to the need for a balanced market ecology in financial markets where fast and slow traders coexist.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91367317","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}
This paper defines a general framework to study infinitely repeated games with time-dependent discounting, in which we distinguish and discuss both time-consistent and time-inconsistent preferences. To study the long-term properties of repeated games, we introduce an asymptotic condition to characterize the fact that players become more and more patient, that is, the discount factors at all stages uniformly converge to $1$. Two types of folk theorem's are proven under perfect observations of past actions and without the public randomization assumption: the asymptotic one, i.e. the equilibrium payoff set converges to the individual rational set as players become patient, and the uniform one, i.e. any payoff in the individual rational set is sustained by a single strategy profile which is an approximate subgame perfect Nash equilibrium in all games with sufficiently patient discount factors. As corollaries, our results of time-inconsistency imply the corresponding folk theorem's with the quasi-hyperbolic discounting.
{"title":"The Folk Theorem for Repeated Games With Time-Dependent Discounting","authors":"Daehyun Kim, Xiaoxi Li","doi":"10.2139/ssrn.3407197","DOIUrl":"https://doi.org/10.2139/ssrn.3407197","url":null,"abstract":"This paper defines a general framework to study infinitely repeated games with time-dependent discounting, in which we distinguish and discuss both time-consistent and time-inconsistent preferences. To study the long-term properties of repeated games, we introduce an asymptotic condition to characterize the fact that players become more and more patient, that is, the discount factors at all stages uniformly converge to $1$. Two types of folk theorem's are proven under perfect observations of past actions and without the public randomization assumption: the asymptotic one, i.e. the equilibrium payoff set converges to the individual rational set as players become patient, and the uniform one, i.e. any payoff in the individual rational set is sustained by a single strategy profile which is an approximate subgame perfect Nash equilibrium in all games with sufficiently patient discount factors. As corollaries, our results of time-inconsistency imply the corresponding folk theorem's with the quasi-hyperbolic discounting.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91417156","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}
Representative models of the macroeconomy (RMs), such as DSGE models, frequently contain unobserved variables. A finite-order VAR representation in the observed variables may not exist, and therefore the impulse responses of the RMs and SVAR models may differ. We demonstrate this divergence often is: (i) not substantial; (ii) reflects the omission of stock variables from the VAR; and (iii) when the RM features I (1) variables can be ameliorated by estimating a latent-variable VECM. We show that DSGE models utilize identifying restrictions stemming from common factor dynamics reflecting statistical, not economic, assumptions. We analyze the use of measurement error, and demonstrate that it may result in unintended consequences, particularly in models featuring I (1) variables.
{"title":"Implications of Partial Information for Econometric Modeling of Macroeconomic Systems","authors":"A. Pagan, Tim Robinson","doi":"10.2139/ssrn.3407045","DOIUrl":"https://doi.org/10.2139/ssrn.3407045","url":null,"abstract":"Representative models of the macroeconomy (RMs), such as DSGE models, frequently contain unobserved variables. A finite-order VAR representation in the observed variables may not exist, and therefore the impulse responses of the RMs and SVAR models may differ. We demonstrate this divergence often is: (i) not substantial; (ii) reflects the omission of stock variables from the VAR; and (iii) when the RM features I (1) variables can be ameliorated by estimating a latent-variable VECM. We show that DSGE models utilize identifying restrictions stemming from common factor dynamics reflecting statistical, not economic, assumptions. We analyze the use of measurement error, and demonstrate that it may result in unintended consequences, particularly in models featuring I (1) variables.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83607197","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}
Purpose The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework. Findings The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.
{"title":"The Determinants of Securities Trading Activity: Evidence from Four European Equity Markets","authors":"S. Camilleri, Francelle Galea","doi":"10.2139/ssrn.3423343","DOIUrl":"https://doi.org/10.2139/ssrn.3423343","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones.\u0000\u0000\u0000Design/methodology/approach\u0000The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework.\u0000\u0000\u0000Findings\u0000The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter.\u0000\u0000\u0000Research limitations/implications\u0000The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research.\u0000\u0000\u0000Practical implications\u0000This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level.\u0000\u0000\u0000Originality/value\u0000The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.\u0000","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75319148","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}
The incompleteness of behavioral preferences can lead many or even all allocations to qualify as Pareto optimal. But the incompleteness does not undercut the precision of utilitarian policy recommendations. Utilitarian methods can be applied to groups of goods or to the multiple social welfare functions that arise when individual preferences are incomplete, and policymakers do not need to provide the preference comparisons that individuals are unable to make for themselves. The utilitarian orderings that result, although also incomplete, can generate a unique optimum. Nonseparabilities in consumption reduce this precision but in all cases the dimension of the utilitarian optima drops substantially relative to the Pareto optima.
{"title":"Distributive Justice for Behavioral Welfare Economics","authors":"Michael Mandler","doi":"10.2139/ssrn.2892804","DOIUrl":"https://doi.org/10.2139/ssrn.2892804","url":null,"abstract":"The incompleteness of behavioral preferences can lead many or even all allocations to qualify as Pareto optimal. But the incompleteness does not undercut the precision of utilitarian policy recommendations. Utilitarian methods can be applied to groups of goods or to the multiple social welfare functions that arise when individual preferences are incomplete, and policymakers do not need to provide the preference comparisons that individuals are unable to make for themselves. The utilitarian orderings that result, although also incomplete, can generate a unique optimum. Nonseparabilities in consumption reduce this precision but in all cases the dimension of the utilitarian optima drops substantially relative to the Pareto optima.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79741126","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}
This paper uses a simple binomial framework to explore trend following. It shows (by counter example) that the existence of positive profits from trend-following strategies, on its own, provides no prima facie evidence on the efficiency or inefficiency of markets. In addition, it explores the most important feature of time series momentum investment strategies: the return shaping impact of trend following through its dynamic positioning. In a stylized efficient market setting (with no transaction costs), the paper shows that the dynamic nature of trend following shapes when profits and losses occur compared to a buy-and-hold strategy. There is, however, a conservation of “mass” in that gains and losses are shuffled across periods such that the unconditional distribution of profits is unaffected. In this sense, trend following, by construction, generates crisis alpha --- for crises where large losses occur over extended periods of time. Due to its ability to shape when profit and losses occur, trend following can provide significant portfolio diversification and hedging potential for those investors with strategic risk-on exposures.
{"title":"Some Observations on Trend Following: A Binomial Perspective","authors":"D. Modest","doi":"10.2139/ssrn.3397783","DOIUrl":"https://doi.org/10.2139/ssrn.3397783","url":null,"abstract":"This paper uses a simple binomial framework to explore trend following. It shows (by counter example) that the existence of positive profits from trend-following strategies, on its own, provides no prima facie evidence on the efficiency or inefficiency of markets. In addition, it explores the most important feature of time series momentum investment strategies: the return shaping impact of trend following through its dynamic positioning. In a stylized efficient market setting (with no transaction costs), the paper shows that the dynamic nature of trend following shapes when profits and losses occur compared to a buy-and-hold strategy. There is, however, a conservation of “mass” in that gains and losses are shuffled across periods such that the unconditional distribution of profits is unaffected. In this sense, trend following, by construction, generates crisis alpha --- for crises where large losses occur over extended periods of time. Due to its ability to shape when profit and losses occur, trend following can provide significant portfolio diversification and hedging potential for those investors with strategic risk-on exposures.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73961666","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}
In this paper, I develop a medium-horizon firm-specific information delay (FSID) measure using the methodology introduced by Hou and Moskowitz (2005) (hereafter HM). Unlike the HM measure of the speed of diffusion of US market-specific information in the short horizon (four weeks), FSID measures the speed of diffusion of firm-specific information in the medium horizon (six months). Whereas previous studies including HM found no significant relation between momentum premium and the HM measure, I find that momentum ceases to exist in the cross section of firms after controlling for FSID. FSID has a symmetrical effect on both loser and winner firms: high-FSID loser firms lose more than low-FSID loser firms, while high-FSID winner firms win more than low-FSID winner firms. High-FSID firms are firms with greater uncertainties related to their fundamentals; these are slightly larger growth firms, have higher dispersion among analysts about their future earnings, pay low dividends, have higher costs of goods, have higher volatility around their profitability, and actively perform major corporate events.
{"title":"Does the Delay in Firm-Specific Information Cause Momentum?","authors":"Bharat Raj Parajuli","doi":"10.2139/ssrn.3576112","DOIUrl":"https://doi.org/10.2139/ssrn.3576112","url":null,"abstract":"In this paper, I develop a medium-horizon firm-specific information delay (FSID) measure using the methodology introduced by Hou and Moskowitz (2005) (hereafter HM). Unlike the HM measure of the speed of diffusion of US market-specific information in the short horizon (four weeks), FSID measures the speed of diffusion of firm-specific information in the medium horizon (six months). Whereas previous studies including HM found no significant relation between momentum premium and the HM measure, I find that momentum ceases to exist in the cross section of firms after controlling for FSID. FSID has a symmetrical effect on both loser and winner firms: high-FSID loser firms lose more than low-FSID loser firms, while high-FSID winner firms win more than low-FSID winner firms. High-FSID firms are firms with greater uncertainties related to their fundamentals; these are slightly larger growth firms, have higher dispersion among analysts about their future earnings, pay low dividends, have higher costs of goods, have higher volatility around their profitability, and actively perform major corporate events.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87652336","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}
Abstract: The short-selling mechanism is an important decision to improve the efficiency of the capital market. China began implementing the short-selling policy in 2010. This paper selects the sample of all A-board listed companies from 2007 to 2016. By comparing the cash holdings of the enterprises that have not joined the short selling policy, it is found that the cash holdings of the enterprises participating in the short selling policy are significantly lower than those without the short selling policy. It is also found that this effect has different effects on enterprises with different characteristics. For enterprises with worse internal governance before participating in the short selling mechanism, the effect of cash holdings reduction is more obvious. Secondly, the effect of the reduction on cash holdings is only significant in the sample group with smaller financing constraints. Finally, in areas with low market level, the short selling policy does not significantly reduce the amount of cash holdings, but in higher market areas, this effect is more significant.
{"title":"The Effects of Short Selling Mechanism on Corporate Cash Holding – Evidence in China","authors":"Crystal Xiaobei Chen, Q. He","doi":"10.2139/ssrn.3511113","DOIUrl":"https://doi.org/10.2139/ssrn.3511113","url":null,"abstract":"Abstract: The short-selling mechanism is an important decision to improve the efficiency of the capital market. China began implementing the short-selling policy in 2010. This paper selects the sample of all A-board listed companies from 2007 to 2016. By comparing the cash holdings of the enterprises that have not joined the short selling policy, it is found that the cash holdings of the enterprises participating in the short selling policy are significantly lower than those without the short selling policy. It is also found that this effect has different effects on enterprises with different characteristics. For enterprises with worse internal governance before participating in the short selling mechanism, the effect of cash holdings reduction is more obvious. Secondly, the effect of the reduction on cash holdings is only significant in the sample group with smaller financing constraints. Finally, in areas with low market level, the short selling policy does not significantly reduce the amount of cash holdings, but in higher market areas, this effect is more significant.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84428319","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}
This paper aims to find a strategy that would work even during bear markets. Such approach should be profitable even when the equity markets are down and could be used as a hedge during those bad times. Common sense suggests that maybe some different asset classes could be used for such purpose. Therefore this paper examines the relationship between prices and skewness of commodities from the practitioner's point of view, where such idea is based on something similar in the world of equities, the Lottery effect in the stocks. Individual investors tend to prefer stocks with lottery-like payoffs in the search for the as high profits as it is possible, and they are willing to play the equity lottery. Unfortunately, in the lotteries, there is a small number of winners, a large number of losers, and one happy lottery ticket issuer that has profited from it. Studies have found out that stocks with lottery-like payoffs have negative abnormal returns if they are compared to the stocks with non-lottery-like payoffs. The same results are found in the world of commodities, where the lottery-like characteristics can be measured by skewness. Most importantly, such a strategy consisting of going long four commodities with the lowest skewness and shorting four commodities with the highest skewness is profitable and negatively correlated with the equity market. It also survives various trading assumptions and trading costs, while remaining profitable.
{"title":"Trading Strategy for Bear Markets","authors":"Matúš Padyšák, Radovan Vojtko","doi":"10.2139/ssrn.3507947","DOIUrl":"https://doi.org/10.2139/ssrn.3507947","url":null,"abstract":"This paper aims to find a strategy that would work even during bear markets. Such approach should be profitable even when the equity markets are down and could be used as a hedge during those bad times. Common sense suggests that maybe some different asset classes could be used for such purpose. Therefore this paper examines the relationship between prices and skewness of commodities from the practitioner's point of view, where such idea is based on something similar in the world of equities, the Lottery effect in the stocks. Individual investors tend to prefer stocks with lottery-like payoffs in the search for the as high profits as it is possible, and they are willing to play the equity lottery. Unfortunately, in the lotteries, there is a small number of winners, a large number of losers, and one happy lottery ticket issuer that has profited from it. Studies have found out that stocks with lottery-like payoffs have negative abnormal returns if they are compared to the stocks with non-lottery-like payoffs. The same results are found in the world of commodities, where the lottery-like characteristics can be measured by skewness. Most importantly, such a strategy consisting of going long four commodities with the lowest skewness and shorting four commodities with the highest skewness is profitable and negatively correlated with the equity market. It also survives various trading assumptions and trading costs, while remaining profitable.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91501905","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}
We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers’ retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A stated concern of rulemakers is asymmetric information. However, we show that, post-crisis, the level of asymmetric information in this market is quite low.
{"title":"Informational Efficiency in Securitization After Dodd-Frank","authors":"Sean Flynn, Andra Ghent, Alexei Tchistyi","doi":"10.2139/ssrn.3278424","DOIUrl":"https://doi.org/10.2139/ssrn.3278424","url":null,"abstract":"\u0000 We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers’ retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A stated concern of rulemakers is asymmetric information. However, we show that, post-crisis, the level of asymmetric information in this market is quite low.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78547085","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}
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