To pool or not to pool? Security design in OTC markets
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.09.021
Abstract: Abstract We study security issuers’ decisions on whether to pool assets when facing counterparties endowed with market power, as is common in over-the-counter markets. Our analysis reveals how buyers’ market power may render the pooling… read more here.
Keywords: security design; market power; pool pool; security ... See more keywords
Security design, market risk and round quotes in the treasury bond market
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics Letters"
DOI: 10.1080/13504851.2018.1527435
Abstract: ABSTRACT Prior literature finds that the tendency of price-endings to cluster on rounder fractions increases with price volatility. We estimate the separate influences and relative importance of the determinants of price volatility, security design and… read more here.
Keywords: security design; market; security; price ... See more keywords