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Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers
The Review of Financial Studies. 2013. Vol. 26. No. 8. P. 2096-2137.
Boulatov A., George T.
We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where they trade less aggressively. Trading costs to uninformed liquidity demanders are higher, bid-ask spreads are wider and midquotes are less informationally ecient when orders that provide liquidity are displayed. Our analysis suggests that market innovations, which might seem to favor the informed over the uninformed, can enhance market quality by intensifying competition among the informed.
Khasyanova S. Y., Деньги и кредит 2013 № 6 С. 35-40
The aim of this work is to analyze the financial stability indicators of Russian banking sector over a period 2008–2012. The analysis based on data published and used by the International Monetary Fund for assessing financial stability of various countries. During the research the factors affecting the level and dynamics of analyzed indicators were identified. ...
Added: July 15, 2013
Khasyanova S. Y., Самсонов М. Е., Проблемы управления 2020 № 3 С. 40-48
The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for ...
Added: July 1, 2020
Naumenko V., Финансовый бизнес 2012 № 3 (158) С. 50-55
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. ...
Added: July 3, 2012
Zukhba D.S., Vysotskyi A., Popovich H., Экономический вестник Донбасса, Украина 2012 No. 4 (30) P. 92-98
This article deals with application of the Capital Asset Pricing Model and its drawbacks on the Ukrainian equity market. In this paper efficiency of the CAPM in the domestic conditions is identified; alternative models are proposed. ...
Added: September 22, 2015
Naumenko V., Лизинг. Технологии бизнеса 2013 № 8 С. 7-15
Based on the analysis of the factors and circumstances that must be taken into account in portfolio restructuring, this article justifies using the potential liquidation value as a benchmark for evaluating portfolio performance. ...
Added: October 17, 2013
Rodina V., Вестник Удмуртского университета 2014 № 3 С. 105-111
The present study attempts to identify explicit and implicit liquidity in the Russian stock market and to assess its impact on a stock’s expected returns. Explicit liquidity is approximated along two projections which are trading costs and trading activity. Implicit liquidity is seen as embedded in such parameter as a company’s size. It is assumed ...
Added: March 27, 2015
Teplova T., Rasskazova A. N., МИР (Модернизация. Инновации. Развитие) 2012 Т. 12 № 4 С. 54-61
In this paper as the main feature of innovation in the financial health of a company analyst view the shift to two circuits of key interests of owners of capital (financial stakeholders). Justified by differences key financial systems within the contour ownership interest and the lender three projections: liquidity, the current economic efficiency and growth. ...
Added: March 8, 2013
Rodionov I. I., Bozhya-Volya R. N., Корпоративные финансы 2014 № 3 (31) С. 38-54
The article introduces business liquidity concept as the third (in addition to risk and return metrics) determinant of company performance. The issues discussed include the analysis of key liquidity elements and the influence of agency costs, uncertainty and market incompleteness on financial decisions. We analyze in details the firm liquidity model based on the assumption ...
Added: November 18, 2014
Киселева М. С., ЭТАП: экономическая теория, анализ, практика 2011 № 1 С. 100-114
Securitization of factoring assets in the area of application has three financial instrument - factoring, issuing securities lending. This mechanism allows to achieve significant economic results in the replenishment of circulating assets in updating the fixed assets, etc. The study describes the structure, you can use to simulate the process of securitization of factoring assets, ...
Added: November 18, 2012
Алексеев А. А., Иванинский И. О., Озорнина О. В. et al., Корпоративные финансы 2009 № 1(9) С. 81-86
The article gives an overview of influence of stock market discrimination on market value of companies in China. There are two types of shares on Chinese stock market: class A shares, which are available for domestic investors, and class B shares, which are available for foreign investors. Such market structure is not a unique Chinese ...
Added: March 3, 2013
Andrievskaya I. K., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2012. No. 12/2012.
The 2007-2009 global financial crisis demonstrated the need for effective systemic risk measurement and regulation. This paper proposes a straightforward approach for estimating the systemic funding liquidity risk in a banking system and identifying systemically critical banks. Focusing on the surplus of highly liquid assets above due payments, we find systemic funding liquidity risk can ...
Added: March 18, 2014
Makarova V. A., Скобелева И. П., Вестник Санкт-Петербургского университета. Серия 8. Менеджмент 2018
The purpose of this article is to present an approach to systemic liquidity management of the company. In order to achieve this purpose, a systematic literature review was conducted in the field of methods and indicators of the company's liquidity assessment, financial consequences of poor liquidity management, and sources of liquidity risk. The authors presented ...
Added: February 21, 2018
Pilnik N., Radionov S., Yazykov A., Экономический журнал Высшей школы экономики 2018 Т. 22 № 3 С. 418-447
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the ...
Added: November 1, 2018
Teplova T., Sokolova T., Munir Q., NY : Routledge, 2020
The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.
The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features ...
Added: October 8, 2020
Архиповская А. В., Актуальные проблемы экономики и права 2011 № 1 С. 164-170
The article presents a review of events in the financial market in 2007-2008. The author studies the interconnection between macroeconomic policy conducted by the USA monetary authorities since beginning of 1980-s till now, and the risks which have concentrated in the financial system and resulted in the crisis. The author specifies the mechanisms of the ...
Added: October 9, 2012
Voyko A. V., Финансовая жизнь 2017 № 3 С. 64-67
Currently, the main problem in assessing the financial condition is the fact that the methodology proposed by the authors do not take into account the nature of the activities of energy companies. Currently, the majority of the works of Russian and foreign authors related to financial recovery issues are not investigated the influence of industry-specific ...
Added: January 31, 2018
Pilnik N., Pospelov I. G., Dedova M., Журнал Новой экономической ассоциации 2014 № 4 (24) С. 87-110
On the basis of statistical balances and turnovers subaccounts Russian banking system built description liquidity needs of banks. Initial accounts combined into 35 units (which include loans and deposits by macroeconomic agents) are ranked by the rate of turnover. Based on this classification, there is a group of units that characterize the level of liquidity ...
Added: October 23, 2014
Прокудина Е. Б., Банковские услуги 2010 № 10 С. 13-20
Argentina, the second largest country in Latin America, hardly recovered form the recession of the year 2001, faces the crisis again in 2008. First of all, the crisis affected the credit and banking sphere of the country, reducing the volumes of credit and deposit. But during the crisis, Argentina managed to carry out the restructuring ...
Added: October 4, 2012
М. : ИНИОН РАН, 2014
В сборнике рассматриваются теоретические и практические проблемы взаимодействия человека, техносферы и биосферы, а также преодоления антропогенной деградации биосферы.
Для научных работников, специалистов, преподавателей и аспирантов. ...
Added: October 22, 2014
Kotelnikova M. V., Aistov A., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Социальные науки 2019 Т. 55 № 3 С. 183-189
The article describes a method that allows to improve the content of disciplines of the mathematical cycle by dividing them into invariant (general) and variable parts. The invariants were identified for such disciplines as «Linear algebra», «Mathematical analysis», «Probability theory and mathematical statistics» delivered to Bachelors program students of economics at several universities. Based on ...
Added: January 28, 2020
М. : КноРус, 2012
Представлена экономическая оценка природно-ресурсного потенциала РФ, рассмотрены закономерности размещения природных ресурсов и основные особенности экологической ситуации в регионах страны, описано влияние экологических факторов на демографический потенциал и здоровье населения, приведена характеристика основных загрязнителей окружающей среды, изложены основы природно-ресурсной политики России и хозяйственный механизм ее осуществления, раскрыты региональные различия современной экологической обстановки в стране и тенденции ...
Added: March 10, 2013
Lipatnikov V. S., Гребенькова Е. С., Проблемы теории и практики управления 2014 № 12 С. 89-96
In this article is conducted research of the mechanism of selection of venture innovative projects. We studied the factors, which influence a choice of business angels. The purpose of work was to receive an advanced system of estimation of projects. On the basis of the survey it is possible to say that the financing of ...
Added: December 8, 2014
Neretina Ekaterina, Neretina E., Journal of Accounting, Finance and Economics 2013 Vol. 3 No. 1 P. 65-76
The last market crash of 2008-2009 showed that the construction sphere is one of the most fragile subject to the crisis effect. The destructive effect of this crash resulted in substantial decrease in mortgage lending, price index, capital investment, and in growth of the cost level. As the construction industry remains strategically important, the eruption ...
Added: September 5, 2013
Oxford Abstracts, 2021
Recovering from Covid: Responsible Management and Reshaping the Economy
In 2021, the 35th Conference and 2nd BAM Conference in the Cloud, will critically engage with the socio-economic recovery from the global Covid-19 pandemic.
Consumers, producers, frontline workers, managers, businesses, public and third sector organisations all have their own roles and responsibilities in transforming our marketised society for the post-pandemic world.
We will critically explore the challenges we all face, aiming to ...
Added: June 12, 2021