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Dealer Inventory, Pricing, and Liquidity in the OTC Derivatives Markets: Evidence from Index CDSs
In: Journal of Financial Markets, Forthcoming
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Post-Crisis Regulations, Market Making, and Liquidity in Over-the-Counter Markets
In: Journal of Banking and Finance, Forthcoming
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Working paper
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Working paper
Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings
In: Forthcoming, Review of Asset Pricing Studies
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Does Dodd-Frank Affect OTC Transaction Costs and Liquidity? Evidence from Real-Time CDS Trade Reports
In: Journal of Financial Economics (JFE), Forthcoming
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Working paper
Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons
In: Journal of Financial and Quantitative Analysis, forthcoming
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Working paper
Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods
In: Annual Review of Financial Economics
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Assessing Models of Individual Equity Option Prices
In: Review of Quantitative Finance and Accounting, Forthcoming
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Monetary Policy Surprises and Corporate Credit Spreads
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Working paper
Price Discrimination Against Retail Investors: Evidence from Mini Options
In: Journal of Banking and Finance, Band 106, Heft 50-64
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Working paper
The Co-Movements of Stock, Bond, and CDS Illiquidity Before, During and After the Global Financial Crisis
In: Journal of Financial Research, Forthcoming
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Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision
In: Journal of Futures Markets, Forthcoming
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THE COMOVEMENTS OF STOCK, BOND, AND CDS ILLIQUIDITY BEFORE, DURING, AND AFTER THE GLOBAL FINANCIAL CRISIS
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 43, Heft 4, S. 965-998
ISSN: 1475-6803
AbstractUsing both marketwide and firm‐level illiquidity measures of the stock, bond, and credit default swap markets, we find that comovements of illiquidity across markets increase significantly during the recent global financial crisis. Moreover, the degree of comovement remains significantly higher in the postcrisis period and regulatory period than in the precrisis period. Specifically, the distribution of firm‐level comovements is notably different before and after the crisis (e.g., a much larger portion of firms with positive pairwise correlations between illiquidity measures in the postcrisis period than in the precrisis period). Our results provide suggestive evidence of the financial crisis effects and the subsequent postcrisis regulations on the comovements of illiquidity across markets.