Strategic trade when securitized portfolio values are unknown
DOI: 10.1016/J.JBANKFIN.2020.105816
关键词:
摘要: Abstract I examine the effect that precision of securitization has on market quality underlying asset, as well focus derivative asset. With securitization, portfolio improved liquidity, trading intensity an informed trader is increased, and trader’s expected profit increased. When arbitrageurs are discretionary, jumps in illiquidity can occur. The combination prices revealing about unknown liquidation value price also tracking error.
unirioja.es
sci-hub.se 参考文章(47)
Yue Zhang, The securitization of gold and its potential impact on gold stocks Journal of Banking & Finance. ,vol. 58, pp. 309- 326 ,(2015) , 10.1016/J.JBANKFIN.2015.03.016
Mikica Drenovak, Branko Urošević, Ranko Jelic, European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis European Financial Management. ,vol. 20, pp. 958- 994 ,(2014) , 10.1111/J.1468-036X.2012.00649.X
Timothy Krause, Sina Ehsani, Donald Lien, Exchange-traded funds, liquidity and volatility Applied Financial Economics. ,vol. 24, pp. 1617- 1630 ,(2014) , 10.1080/09603107.2014.941530
CRAIG W. HOLDEN, AVANIDHAR SUBRAHMANYAM, Long‐Lived Private Information and Imperfect Competition Journal of Finance. ,vol. 47, pp. 247- 270 ,(1992) , 10.1111/J.1540-6261.1992.TB03985.X
Joel Hasbrouck, Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement Review of Financial Studies. ,vol. 6, pp. 191- 212 ,(1993) , 10.1093/RFS/6.1.191
Lawrence R. Glosten, Paul R. Milgrom, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders Journal of Financial Economics. ,vol. 14, pp. 71- 100 ,(1985) , 10.1016/0304-405X(85)90044-3
Stephen A. Ross, Options and Efficiency The Quarterly Journal of Economics. ,vol. 90, pp. 75- 89 ,(1976) , 10.2307/1886087
Avanidhar Subrahmanyam, Risk Aversion, Market Liquidity, and Price Efficiency Review of Financial Studies. ,vol. 4, pp. 417- 441 ,(1991) , 10.1093/RFS/4.3.417
Stephen Bertone, Imants Paeglis, Rahul Ravi, (How) has the market become more efficient? Journal of Banking & Finance. ,vol. 54, pp. 72- 86 ,(2015) , 10.1016/J.JBANKFIN.2014.12.019
Shantaram P. Hegde, John B. McDermott, The market liquidity of DIAMONDS, Q's, and their underlying stocks Journal of Banking and Finance. ,vol. 28, pp. 1043- 1067 ,(2004) , 10.1016/S0378-4266(03)00043-8