Author: Bruno Sultanum

Terrence Hendershott presenting on March 8, 2021

Paper title: “True Cost of Immediacy“ Abstract: 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 […]

Marzena Rostek presenting on November 16, 2020

Paper title: “Innovation in Decentralized Markets” with J.H. Yoon Abstract: This paper examines security design in imperfectly competitive markets in which assets clear separately rather than jointly. Derivatives are generally nonredundant even with zero asset supply. We characterize the scope for introducing nonredundant derivatives and examine the welfare effects of new assets. We compare welfare […]

Pierre Collin-Dufresne presenting on November 2, 2020

Paper title: Informed Traders and Dealers in the FX Forward Market Abstract: There is strong heterogeneity in the permanent price impact of traders. Moreover, a trader’s permanent price impact is persistent. A trade’s ex-post permanent price impact is partially priced in dealers’ markups, even when controlling for dealer-client fixed effects. This suggests that dealers are […]

Manolis Galenianos presenting on October 19, 2020

“Regulatory Interventions in Consumer Financial Markets: The Case of Credit Cards,” joint with Alessandro Gavazza Abstract: We build a framework to understand the effects of regulatory interventions in credit markets, such as caps on interest rates and higher compliance costs for lenders. We focus on the credit card market, in which we observe U.S. consumers […]

Benjamin Lester presenting on October 5, 2020

Paper Title: “Job Referrals and Labor market Outcomes Across Occupations” with David Rivers and Giorgio Topa Abstract: Though a significant fraction of workers and firms report using a referral somewhere in the hiring process, it remains unclear exactly what role referrals play (if any) in the hiring process. We exploit a novel data set to shed […]