|
|
|||
|
||||
OverviewWe study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive data set constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence that auction dealers acted at their own discretion as market makers before the market collapsed. We show that this discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing inventory pressure, they stopped making markets. Moreover, the drop in support occurred suddenly, apparently triggered by the unexpected withdrawal of one major broker-dealer. Full Product DetailsAuthor: Divisions of Research and Statistics andPublisher: Createspace Independent Publishing Platform Imprint: Createspace Independent Publishing Platform Dimensions: Width: 21.60cm , Height: 0.30cm , Length: 27.90cm Weight: 0.154kg ISBN: 9781500338336ISBN 10: 1500338338 Pages: 56 Publication Date: 28 June 2014 Audience: General/trade , General Format: Paperback Publisher's Status: Active Availability: In stock We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |