Optimal Control of Credit Risk
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 25, Heft 4, S. 593-594
ISSN: 1475-6803
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In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 25, Heft 4, S. 593-594
ISSN: 1475-6803
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 19, Heft 2, S. 243-271
ISSN: 1475-6803
AbstractWe model trading in a competitive securities market where informed traders and liquidity traders transact with dealers. The dealers' entire published quote is modeled: bid‐ask prices and the number of shares the dealer is willing to buy/sell at these prices (i.e., size quotes). We argue that size quotes are a more informative indicator of market liquidity than the bid‐ask spread's adverse‐selection component. Moreover, the size quotes reveal several market characteristics that cannot be inferred from the bid‐ask spread's adverse‐selection component alone. The model generates a number of empirically testable predictions that clarify certain key elements of market liquidity.
In: The Frank J. Fabozzi series
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In: The journal of business, Band 64, Heft 2, S. 213
ISSN: 1537-5374
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 21, Heft 3, S. 293-313
ISSN: 1475-6803
AbstractConversion‐forcing calls of convertible preferred stocks are re‐examined focusing on the value of the conversion option impounded in the preferred price. This amount represents the preferred shareholder wealth potentially transferable to common stockholders. Capture of this wealth underlies the theoretical motivation for calling and forcing conversion as soon as possible. Most of the preferred issues examined exhibit nonpositive average option values throughout all but short periods; hence, no wealth transfer opportunity exists for immediate calls. Issues that exhibit positive option values are called quickly. In contrast to interpretations that have persisted for over fifteen years, our results reveal no substantial delays in calling convertible preferred stocks.