| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15205 |
| DP15205 True Cost of Immediacy | |
| Norman Schürhoff; Terrence Hendershott; Dmitry Livdan; Dan Li | |
| 发表日期 | 2020-08-26 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of immediacy because it does not account for failed attempts to trade. The true cost of immediacy is substantially higher than the observed costs for successful BWICs. This cost gap is higher in lower-rated CLOs and stressful market conditions when failure rates exceed 50%. Across our 2012-2020 sample period for trades in senior CLOs, the observed cost is four basis points (bps) while the true cost of immediacy is 13bps. In stressful periods, such as the COVID-19 pandemic, for junior tranches the observed cost of trading increases from an average of 12bps to 25bps while the true cost of immediacy increases from less than 3% to almost 15%. |
| 主题 | Financial Economics |
| 关键词 | Collateralized loan obligations Bids-wanted-in-competition Over-the-counter markets Liquidity Financial fragility |
| URL | https://cepr.org/publications/dp15205 |
| 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/544176 |
| 推荐引用方式 GB/T 7714 | Norman Schürhoff,Terrence Hendershott,Dmitry Livdan,et al. DP15205 True Cost of Immediacy. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
