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No / This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. The asymmetric effect of additions and deletions on informational efficiency can be attributed, at least partly, to certain aspects of liquidity and other fundamental characteristics, which improve following additions but do not diminish after deletions. Cross-sectional analysis also indicates that stocks with low pre-addition market quality benefit more from joining the index.

Yes / We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets. Even in the absence of bubbles dramatic booms and busts can occur. We thus sound a timely note of caution.

Depository institutions must properly manage their liquidity to meet daily cash needs, to deal with a decline in the relative size of the industry, and to avoid the possibility of a bank run. Members of the Federal Home Loan Bank System can use the Advance Program to enhance their liquidity and simultaneously limit some of the interest rate risk associated with mortgage lending and mortgage related securities. This study investigates which factors influence the decision to use the Advance program and which factors influence the volume of Advances held by participating thrifts. A logistic regression analysis is used to evaluate which variables significantly impact a thrift's decision to use the FHLB Advance Program. A multiple linear regression model of thrifts with FHLB Advances measures which variables significantly affect the level of Advances held by thrift institutions. Fed Funds Borrowed .and Repo Agreements Sold was found to have a negative impact on the decision of a thrift to have FHLB Advances. Total Assets ( + ), Equity (-), Deposits Less Than $100,000 (-), and Deposits Greater Than $100,000 (-) were all found to have a significant influence on both the decision to have Advances and the volume of Advances held.

Darbe yra analizuojamos Nasdaq OMX Baltijos ir Nasdaq OMX Šiaurės rinkos, siekiant nustatyti, kurios rinkos likvidumas yra atsparesnis globaliam finansiniam nuosmukiui ir kokie įmonių lygio veiksniai nulemia didesnį likvidumo atsparumą. Teorinėje dalyje apžvelgiamos rinkos likvidumo sąsajos su rinkos, įmonių lygio ir makroekonominiais veiksniais. Antroje darbo dalyje pateikiama tyrimo metodologija, susidedanti iš dviejų tyrimo etapų. Pirmame etape rinkų likvidumo kitimas skaičiuojamas 2005 – 2010 m. ir lyginamas jo vidurkis prieš ir po globalaus finansinio nuosmukio, įvertinant finansinio nuosmukio mastą rinkas sudarančiose šalyse. Antrame tyrimo etape nustatoma, kurie įmonių lygio veiksniai turi įtakos likvidumui ir kaip jie paveikia likvidumo atsparumą globaliam finansiniam nuosmukiui. Trečioje dalyje pateikiami empirinio tyrimo rezultatai, jog Nasdaq OMX Šiaurės rinka, pagal prašomos-siūlomos kainos skirtumo likvidumo rodiklį, yra atsparesnė globaliam finansiniam nuosmukiui, o tai nulemia didesnis listinguojamų įmonių dydis rinkoje, didesnis skaičius įmonių vykdančių mokslinius tyrimus ir plėtrą, bei nuosmukio laikotarpiu žymiai mažiau kritęs įmonių pelnas, kapitalo išlaidos, akcijų rinkos ir balansinės vertės santykis, lyginant su Nasdaq OMX Baltijos rinka. / In this paper are analyzing Nasdaq OMX Baltic and Nasdaq OMX Nordic markets on purpose to find out, which market has bigger resistance of liquidity to the global financial crisis and which factors weighted it. In the theoretic part is analyzing interface between liquidity and factors of the markets, firms and macroeconomic. In the second part of paper is represented research methodology. First of all, is calculating resistance of liquidity through 2005 – 2010 years and compare resistance of market liquidity before and after global financial crisis, evaluating the extent of crisis in the countries, of which consisted the Baltic and Nordic markets. Next it is find out which firm’s level indicators influence firm’s liquidity and how these indicators influence the resistance of market liquidity to global financial crisis. In the third part are represented results of empirical research. It is find out that by the bid-ask spread indicator the Nasdaq OMX Nordic market’s liquidity is more resistance to global financial crises, because the firms are bigger, more firms engage in research and development activity and had considerably higher profit, capital expenditures and market-balance value of stocks through crisis, compare with Nasdaq OMX Baltic market.

This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the world. Since liquidity has many dimensions, an emphasis is placed on utilizing various measures of liquidity. Moreover, both static and dynamic analyses, as well as short and long-horizon regressions, are performed to investigate the research questions. The results suggest that a liquid market attracts flows, after controlling for market size, political openness, exchange rate and other macro factors. Additionally, evidence indicates that the importance of liquidity varies across regions. For instance in the Asian region, the relation between equity flows and volume-related liquidity is weak while that between flows and price impacts of trading is strong. Evidence also supports the relevance of macro factors such as a country's economic freedom. The second essay, "Liquidity Risk Premium Puzzle and Possible Explanations", attempts to resolve the liquidity risk puzzle: a negative relation between returns and liquidity risk, documented by Chordia, Subrahmanyam, and Anshuman (2001b), by employing alternative liquidity measures and by incorporating factors that might potentially affect the relation. The main findings are as follows. The relation between stock returns and volatility of liquidity depends on the measure of liquidity. When liquidity measures are based on trading volume, the results are largely mixed, but when liquidity is measured based on price impact of trading, the relation between returns and volatility of price impacts is positive, as expected. The results are sensitive to time periods examined. Moreover, during extreme down markets, the aversion to liquidity volatility is lower, suggesting behavioral bias might potentially address the puzzle. Empirical findings also suggest that liquidity risk premium tends to be greater for small stocks. Finally, when the VIX index is included as a proxy for investor sentiment, the results indicate that the relation between returns and liquidity risk is significantly positive in four out of five liquidity measures. In sum, the empirical analysis partially but not completely addresses the puzzle.

This dissertation consists of three separate essays which address questions in the field of banking. The first two essays are motivated by the Great Recession, and study key aspects of the experience of commercial banks during this period. One is the impact of liquidity risk on credit supply, and the second is the effect of portfolio choices on the probability of bank failure. The third essay shifts the focus from commercial banks to M & A transactions, and studies the impact of a key provision in merger agreements on the initial offer premium and target firm value. In the first essay, titled "Liquidity Risk and the Credit Crunch of 2007-2009", I document the connection between liquidity risk and the credit crunch experienced during the financial crisis of 2007-2009. Using extensive micro-level data on mortgage loan applications, I construct a measure of the supply of credit that is free from demand-side bias. I then use this measure of credit supply to estimate the effect of cross-sectional differences in unused lines of credit and core-deposit funding on the supply of mortgage credit moving through the crisis. I find that lenders with higher liquidity risk contracted their supply of mortgage credit more. The channel of contraction was significantly stronger for larger lenders, which had the largest exposure to liquidity risk. The first phase of the contraction was due to liquidity risk arising from high exposure to lines of credit and was immediately followed by further tightening due to the collapse of the markets for wholesale funding. I estimate that the total contraction of mortgage lending due to liquidity stresses experienced by lenders during 2007-2009 was $41.5 billion - $61.9 billion, or 5.2%-7.8% of total mortgage originations during that period. In the second essay, titled "Commercial Bank Failures During The Great Recession: The Real (Estate) Story" I identify the channels through which shocks to the real estate sector contributed to the wave of commercial bank failures during the Great Recession. I focus on the banks' loan, marketable securities and credit line portfolios, and consider how choices which shifted the composition of each portfolio towards real estate products impacted the probability of bank failure. I find that augmenting a baseline model of failure with variables that capture the composition of these three portfolios improves the fit of the model by approximately 70% for small banks and 230% for large banks. I find no evidence that banks which held more of their loans in traditional closed-end mortgages suffered a higher probability of failure. Rather, it was investments in loans for multifamily properties and other non-household real estate loans, as well as off-balance sheet exposures to credit lines issued to non-household real estate borrowers, that are robustly identified as precursors of bank failure for both small and large banks. Exposure to open-end residential real estate loans contributed to the failure rates of small banks only. Exposure to private-label MBS is strongly associated with a higher probability of failure for large banks, but not for small ones. On the other hand, high holdings of agency MBS are associated with a higher probability of failure only for smaller banks, but this result is less robust. The third essay, titled "No Free Shop: Why Target Companies in MBOs and Private Equity Transactions Sometimes Choose Not to Buy 'Go Shop' Options" is joint work with Charles W. Calomiris and Donna M. Hitscherich. In this essay, we study the decisions by targets in private equity and MBO transactions whether to actively "shop" their initial acquisition agreements prior to the shareholders' approval of those contracts. Specifically, targets can insert a "go-shop" clause into their contracts, which permits them to use the agreement to solicit offers from other would-be acquirors during the "go-shop" window, during which the termination fee paid by the target is temporarily lowered. We consider the "go-shop" decision from the theoretical perspective of value maximization under asymmetric information, and also consider conflicts of interest on the parts of management, bankers, and attorneys that might affect the decision. Empirically, we find that the decision to retain the option to shop an offer is predicted by various firm attributes, including larger size, more fragmented ownership, and various characteristics of the firms' legal advisory team and procedures. These can be interpreted as reflecting a combination of informational characteristics, litigation risk, and attorney conflicts of interest. We employ legal advisor characteristics as instruments when analyzing the effects of go-shop decisions on target acquisition premia and value. We find, as predicted in our theoretical framework, that go-shops are not a free option; they result in lower initial acquisition premia, ceteris paribus. Our theoretical framework has an ambiguous prediction about the effects of go-shop choice on target firm valuation. Consistent with theory, we find no significant effect on abnormal returns from choosing a "go-shop" option.

本研究係探討台灣股市流動性的提供者，研究樣本係台灣證券交易所四支流動性大小不同的標的個股，而樣本期間橫跨民國八十五一至五月及民國八十六年全年，分別代表證券市場的盤整期間，大多頭及大多頭。 研究方法係將證券市場上的參與者依其身份別分別自營商、國內籌資投信、國外籌資投信、外資、法人及自營人六種身份，再依績效指標及行為指標去判斷何者較有可能是市場中流動性的提供者。一個好的流動性提供者必須在績效指標方面有穩定的表現及在行為指標方法符合流動性供給者的交易方式。 研究結果發現自營商及法人的獲利狀況十平穩定，不論市場狀況如何，均能有明顯大於零的表現，且其賣單金額比例較為平均，顯示其進出狀況較為對稱，且對獲利進行迴歸時亦顯示其買賣愈均衡時獲利愈大，因此就績效指標及行為指標來看此兩種身份別的市場參與者最符合市場中流動性提供者的特性。 而在投信及外資方面則發現其獲利狀況變動程度相當大，隨著市場狀況的不同而對其有著明顯的影響，其賣單金額比例較大幅度的擺動亦顯示出其較傾向單方向的交易，因此可知其操作決策與獲利狀況會因績效壓力會造成追漲殺跌的交易特性，因此買賣之間比例並不均衡且獲利受市場狀況影響甚大，並不是合適的流動性提供者。自然人在平均獲利上並沒有特別的優勢或劣勢，但其損益狀況並不對稱、使用信用交易的比例甚大，且愈傾向以市價進行委託的自然人其信用交易比例亦愈高，顯示其在擴充槓桿的同時並沒有獲得相對應的報酬。因此儘管自然人提供了市場上大部份的成交量，但其並不是市場中流動性穩定的提供者。