G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11993
DP11993 Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds
Massimo Massa; Alberto Manconi; Elisabeth Kempf
发表日期2017-04-24
出版年2017
语种英语
摘要In illiquid markets, trading by informed investors can have limited predictive power, because trading volumes are low and may not be timely. In these conditions, changes in the lendable amounts of securities can act as a canary in a coalmine, and predict future performance when trading activity cannot. We test this argument on the market for structured finance products (“securitized bonds”). We find strong evidence that changes in amounts available for lending (lendable) predict future performance (delinquency and foreclosure rates). In contrast, we do not find any evidence of predictability from changes in the amounts on loan. While investor trades have comparable predictive power to changes in lendable amounts in general, lendable amounts are a better predictor in illiquid markets. Overall, these findings are consistent with the hypothesis that securities holders (lenders) possess material information in this segment.
主题Financial Economics
关键词Securities lending Informed trading Securitization
URLhttps://cepr.org/publications/dp11993
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540805
推荐引用方式
GB/T 7714
Massimo Massa,Alberto Manconi,Elisabeth Kempf. DP11993 Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds. 2017.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Massimo Massa]的文章
[Alberto Manconi]的文章
[Elisabeth Kempf]的文章
百度学术
百度学术中相似的文章
[Massimo Massa]的文章
[Alberto Manconi]的文章
[Elisabeth Kempf]的文章
必应学术
必应学术中相似的文章
[Massimo Massa]的文章
[Alberto Manconi]的文章
[Elisabeth Kempf]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。