Auflistung LIF-SAFE Working Papers nach Schlagwort "otc markets"

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    • Lighting up the Dark: Liquidity in the German Corporate Bond Market 

      Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; Schneider, Michael; Subrahmanyam, Marti G. (2018-09-17)
      "We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...

    • OTC Discount 

      de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2020-12-08)
      We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...

    • OTC Discount 

      de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2021-10-08)
      We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...

    • The Pitfalls of Central Clearing in the Presence of Systematic Risk 

      Kubitza, Christian; Pelizzon, Loriana; Getmansky Sherman, Mila (2018-11-08)
      Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...