Liquidity in financial markets: theory and application in the Swiss securities market structure
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Bern
Haupt
2005
|
| Edition: | 1. Aufl. |
| Series: | Bank- und finanzwirtschaftliche Forschungen
368 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Zürich, Univ., Diss. Includes bibliographical references (p. 281-297) |
| Physical Description: | 297 S. graph. Darst. 23 cm |
| ISBN: | 3258069166 |
Staff View
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Record in the Search Index
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|---|---|
| adam_text | Contents
1 Introduction 15
1.1 Motivation 15
1.2 Hypothesis and research question 18
1.3 Objectives 19
1.4 Methodology 19
1.5 Structure 21
1.6 Terminology 23
Part I: Financial market liquidity 25
2 The analytical framework of the liquidity model 29
2.1 Liquidity in the perfect-market paradigm 29
2.2 Definitions of the liquidity model 31
2.2.1 Asset liquidity 31
2.2.2 Funding liquidity 37
2.2.3 The duality of asset and funding liquidity 38
2.3 The liquidity risk in financial markets 41
2.3.1 A methodology of the liquidity risk 41
2.3.2 Liquidity in a perfect market 45
2.4 Frictions: the risk and return structure of liquidity 50
2.4.1 Risk premiums in financial markets 50
2.4.2 The liquidity risk premium 54
2.5 Inefficiencies: the informational role of liquidity 55
2.5.1 Liquidity and market inefficiencies 55
2.5.2 Liquidity as public information 56
2.5.3 Value extraction and information-efficient prices 58
2.5.4 Implications for the probability distribution of asset returns 59
9
3 Liquidity in normal market conditions 63
3.1 The normal state: endogenous liquidity 63
3.2 Liquidity events during normal market conditions 64
3.3 Infrequencies of trading and limited marketability 65
3.4 Pricing power: block trades 65
3.4.1 Block transactions 66
3.4.2 Block trades in the efficient market framework 68
3.4.3 The financial economics of block transactions 68
3.4.4 Block trades and financial market liquidity 70
3.5 Strategic liquidation 71
3.5.1 Optimising strategic liquidation 72
3.5.2 Opposite effects of an optimised strategic liquidation 73
3.5.3 Strategic liquidation in Swiss markets 74
3.6 Forced liquidation 74
3.6.1 A formal approach to forced liquidation 75
3.6.2 Forced liquidation due to need of funding liquidity 76
3.6.3 Forced liquidation due to information filtration 77
4 Liquidity in tense conditions 81
4.1 Stress dynamics: exogenous liquidity 81
4.2 The framework of the stress model 82
4.2.1 Assumptions 82
4.2.2 Market participants 82
4.2.3 Liquidity crisis cycle 83
4.3 Liquidity events in tense conditions 84
4.3.1 Convex pay-off strategies: constraints and mechanisms 84
4.3.2 Risk management systems and dynamic allocation -85
4.4 Positive feedback trading 87
4.4.1 The basic setting of positive feedback trading 87
4.4.2 Positive feedback trading and investors classes 88
4.5 Liquidity price impacts during tense conditions 91
10
4.5.1 Liquidity shocks and information incompleteness 91
4.5.2 Dynamic allocation: the negative wealth effect 99
Part II: Liquidity phenomena from a Swiss perspective 103
5 Liquidity phenomena in the Swiss securities market
structure 107
5.1 Liquidity and the financial market microstructure 108
5.1.1 The legislation and regulation of the Swiss financial market
microstructure 108
5.1.2 Securities dealing in the Swiss financial market microstructure 109
5.1.3 Asset liquidity in the Swiss financial market microstructure 113
5.1.4 Funding liquidity in the Swiss financial market microstructure 120
5.1.5 Liquidity in Swiss financial markets 122
5.2 Liquidity and the investors behaviour 123
5.2.1 Applying behavioural finance to the liquidity model 124
5.2.2 Technical liquidity constraints in institutional asset management 128
5.2.3 Individual liquidity constraints in private wealth management 136
5.3 Liquidity and the design of financial instruments 137
5.3.1 Affecting liquidity: the design of financial products 137
5.3.2 Accessing liquidity: investment companies 140
5.3.3 Restricted liquidity: alternative investment products 147
6 Historical liquidity premiums in Switzerland 155
6.1 Applied research methods 155
6.2 Data 156
6.3 Observable liquidity components in transaction prices 159
6.3.1 Historical information in bid/ask spreads 159
6.3.2 Historical information in trading volumes 165
6.4 Unobservable liquidity components in derivatives 170
6.4.1 Historical liquidity information in implied volatilities 171
6.4.2 Historical liquidity information in the swap spread 180
6.5 The four information measures of liquidity 190
11
Part III: Implications for financial valuation and decision
making 191
7 Value transformation under limited liquidity 195
7.1 The corporate finance perspective on limited liquidity 195
7.2 Firm-based financial engineering under limited liquidity 197
7.2.1 Limited liquidity and the shareholder value concept 197
7.2.2 Efficient forms of value transformation 199
7.3 Enterprise valuation under the consideration of limited
liquidity 201
7.3.1 Valuing an enterprise entity 201
7.3.2 Enterprise valuation and value extraction 202
7.3.3 Integrating the liquidity price impact 204
7.3.4 The firm value and the optimal level of liquidity 210
8 Valuing corporate securities under limited liquidity 213
8.1 Introducing model risk to the liquidity analysis 214
8.2 The sources of model risk during a liquidity price impact...215
8.2.1 Path dependency of the price process 216
8.2.2 Shortening of the time horizon 219
8.2.3 Stress behaviour in derivatives markets 221
8.3 The liquidity pricing matrix 227
8.3.1 Equity s cost of capital: limited liquidity in equity instruments 227
8.3.2 Debt s cost of capital: limited liquidity in debt instruments 230
8.3.3 Capital structure: limited liquidity in warrants 234
8.3.4 How to apply the liquidity pricing matrix 241
9 Enhancing liquidity in financial markets 243
9.1 Professional market making 243
9.1.1 Professional market making: a business model 243
9.1.2 Benefits: minimising the cost of capital 245
9.1.3 Costs: obligations and inventory risk 246
9.1.4 Information dissemination: managing asymmetries 247
9.1.5 Enhancements: liquidity options and contingent capital 248
12
9.2 Collateralised solutions 248
9.2.1 Collateralising illiquidity 248
9.2.2 Asset securitisation 249
9.2.3 Collateralised Debt Obligations 250
9.2.4 Collateralised Fund Obligations 252
9.2.5 Mitigating liquidity risk with Collateralised solutions 252
9.3 Internationally consolidated order books 253
9.3.1 Multi-listing of corporate securities 253
9.3.2 The international consolidation of the order books 255
Conclusion outlook 257
10 Concluding remarks and future research 259
10.1 Conclusive summary 259
10.1.1 Part I: The liquidity model 259
10.1.2 Part II: The liquidity premium 261
10.1.3 Part III: The liquidity-adjusted cost of capital 262
10.1.4 Implications forfinancial management 264
10.2 Future research possibilities 264
Appendixes 269
Appendix I: Figures and tables 271
Appendix II: Abbreviations 273
Appendix III: Notations 275
Appendix IV: Mathematical foundations 279
Bibliography 283
13
|
| adam_txt |
Contents
1 Introduction 15
1.1 Motivation 15
1.2 Hypothesis and research question 18
1.3 Objectives 19
1.4 Methodology 19
1.5 Structure 21
1.6 Terminology 23
Part I: Financial market liquidity 25
2 The analytical framework of the liquidity model 29
2.1 Liquidity in the perfect-market paradigm 29
2.2 Definitions of the liquidity model 31
2.2.1 Asset liquidity 31
2.2.2 Funding liquidity 37
2.2.3 The duality of asset and funding liquidity 38
2.3 The liquidity risk in financial markets 41
2.3.1 A methodology of the liquidity risk 41
2.3.2 Liquidity in a perfect market 45
2.4 Frictions: the risk and return structure of liquidity 50
2.4.1 Risk premiums in financial markets 50
2.4.2 The liquidity risk premium 54
2.5 Inefficiencies: the informational role of liquidity 55
2.5.1 Liquidity and market inefficiencies 55
2.5.2 Liquidity as public information 56
2.5.3 Value extraction and information-efficient prices 58
2.5.4 Implications for the probability distribution of asset returns 59
9
3 Liquidity in normal market conditions 63
3.1 The normal state: endogenous liquidity 63
3.2 Liquidity events during normal market conditions 64
3.3 Infrequencies of trading and limited marketability 65
3.4 Pricing power: block trades 65
3.4.1 Block transactions 66
3.4.2 Block trades in the efficient market framework 68
3.4.3 The financial economics of block transactions 68
3.4.4 Block trades and financial market liquidity 70
3.5 Strategic liquidation 71
3.5.1 Optimising strategic liquidation 72
3.5.2 Opposite effects of an optimised strategic liquidation 73
3.5.3 Strategic liquidation in Swiss markets 74
3.6 Forced liquidation 74
3.6.1 A formal approach to forced liquidation 75
3.6.2 Forced liquidation due to need of funding liquidity 76
3.6.3 Forced liquidation due to information filtration 77
4 Liquidity in tense conditions 81
4.1 Stress dynamics: exogenous liquidity 81
4.2 The framework of the stress model 82
4.2.1 Assumptions 82
4.2.2 Market participants 82
4.2.3 Liquidity crisis cycle 83
4.3 Liquidity events in tense conditions 84
4.3.1 Convex pay-off strategies: constraints and mechanisms 84
4.3.2 Risk management systems and dynamic allocation -85
4.4 Positive feedback trading 87
4.4.1 The basic setting of positive feedback trading 87
4.4.2 Positive feedback trading and investors' classes 88
4.5 Liquidity price impacts during tense conditions 91
10
4.5.1 Liquidity shocks and information incompleteness 91
4.5.2 Dynamic allocation: the negative wealth effect 99
Part II: Liquidity phenomena from a Swiss perspective 103
5 Liquidity phenomena in the Swiss securities market
structure 107
5.1 Liquidity and the financial market microstructure 108
5.1.1 The legislation and regulation of the Swiss financial market
microstructure 108
5.1.2 Securities dealing in the Swiss financial market microstructure 109
5.1.3 Asset liquidity in the Swiss financial market microstructure 113
5.1.4 Funding liquidity in the Swiss financial market microstructure 120
5.1.5 Liquidity in Swiss financial markets 122
5.2 Liquidity and the investors' behaviour 123
5.2.1 Applying behavioural finance to the liquidity model 124
5.2.2 Technical liquidity constraints in institutional asset management 128
5.2.3 Individual liquidity constraints in private wealth management 136
5.3 Liquidity and the design of financial instruments 137
5.3.1 Affecting liquidity: the design of financial products 137
5.3.2 Accessing liquidity: investment companies 140
5.3.3 Restricted liquidity: alternative investment products 147
6 Historical liquidity premiums in Switzerland 155
6.1 Applied research methods 155
6.2 Data 156
6.3 Observable liquidity components in transaction prices 159
6.3.1 Historical information in bid/ask spreads 159
6.3.2 Historical information in trading volumes 165
6.4 Unobservable liquidity components in derivatives 170
6.4.1 Historical liquidity information in implied volatilities 171
6.4.2 Historical liquidity information in the swap spread 180
6.5 The four information measures of liquidity 190
11
Part III: Implications for financial valuation and decision
making 191
7 Value transformation under limited liquidity 195
7.1 The corporate finance perspective on limited liquidity 195
7.2 Firm-based financial engineering under limited liquidity 197
7.2.1 Limited liquidity and the shareholder value concept 197
7.2.2 Efficient forms of value transformation 199
7.3 Enterprise valuation under the consideration of limited
liquidity 201
7.3.1 Valuing an enterprise entity 201
7.3.2 Enterprise valuation and value extraction 202
7.3.3 Integrating the liquidity price impact 204
7.3.4 The firm value and the optimal level of liquidity 210
8 Valuing corporate securities under limited liquidity 213
8.1 Introducing model risk to the liquidity analysis 214
8.2 The sources of model risk during a liquidity price impact.215
8.2.1 Path dependency of the price process 216
8.2.2 Shortening of the time horizon 219
8.2.3 Stress behaviour in derivatives markets 221
8.3 The liquidity pricing matrix 227
8.3.1 Equity's cost of capital: limited liquidity in equity instruments 227
8.3.2 Debt's cost of capital: limited liquidity in debt instruments 230
8.3.3 Capital structure: limited liquidity in warrants 234
8.3.4 How to apply the liquidity pricing matrix 241
9 Enhancing liquidity in financial markets 243
9.1 Professional market making 243
9.1.1 Professional market making: a business model 243
9.1.2 Benefits: minimising the cost of capital 245
9.1.3 Costs: obligations and inventory risk 246
9.1.4 Information dissemination: managing asymmetries 247
9.1.5 Enhancements: liquidity options and contingent capital 248
12
9.2 Collateralised solutions 248
9.2.1 Collateralising illiquidity 248
9.2.2 Asset securitisation 249
9.2.3 Collateralised Debt Obligations 250
9.2.4 Collateralised Fund Obligations 252
9.2.5 Mitigating liquidity risk with Collateralised solutions 252
9.3 Internationally consolidated order books 253
9.3.1 Multi-listing of corporate securities 253
9.3.2 The international consolidation of the order books 255
Conclusion outlook 257
10 Concluding remarks and future research 259
10.1 Conclusive summary 259
10.1.1 Part I: The liquidity model 259
10.1.2 Part II: The liquidity premium 261
10.1.3 Part III: The liquidity-adjusted cost of capital 262
10.1.4 Implications forfinancial management 264
10.2 Future research possibilities 264
Appendixes 269
Appendix I: Figures and tables 271
Appendix II: Abbreviations 273
Appendix III: Notations 275
Appendix IV: Mathematical foundations 279
Bibliography 283
13 |
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| geographic | Schweiz - Wertpapiermarkt - Liquidität swd Schweiz |
| geographic_facet | Schweiz - Wertpapiermarkt - Liquidität Schweiz |
| id | DE-604.BV023380410 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:16:10Z |
| indexdate | 2024-07-09T21:17:18Z |
| institution | BVB |
| isbn | 3258069166 |
| language | English |
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| physical | 297 S. graph. Darst. 23 cm |
| publishDate | 2005 |
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| series | Bank- und finanzwirtschaftliche Forschungen |
| series2 | Bank- und finanzwirtschaftliche Forschungen |
| spelling | Rütschi, Jörg Verfasser aut Liquidity in financial markets theory and application in the Swiss securities market structure Jörg Rütschi 1. Aufl. Bern Haupt 2005 297 S. graph. Darst. 23 cm txt rdacontent n rdamedia nc rdacarrier Bank- und finanzwirtschaftliche Forschungen 368 Zugl.: Zürich, Univ., Diss. Includes bibliographical references (p. 281-297) Financial Engineering - Unternehmensbewertung - Liquidität swd Kreditmarkt - Liquidität swd Liquidität - Kreditmarkt swd Liquidität - Unternehmensbewertung - Financial Engineering swd Liquidität - Wertpapiermarkt - Schweiz swd Unternehmensbewertung - Liquidität - Financial Engineering swd Wertpapiermarkt - Liquidität - Schweiz swd Securities Switzerland Liquidity (Economics) Schweiz - Wertpapiermarkt - Liquidität swd Schweiz (DE-588)4113937-9 Hochschulschrift gnd-content Bank- und finanzwirtschaftliche Forschungen 368 (DE-604)BV023546687 368 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016563523&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rütschi, Jörg Liquidity in financial markets theory and application in the Swiss securities market structure Bank- und finanzwirtschaftliche Forschungen Financial Engineering - Unternehmensbewertung - Liquidität swd Kreditmarkt - Liquidität swd Liquidität - Kreditmarkt swd Liquidität - Unternehmensbewertung - Financial Engineering swd Liquidität - Wertpapiermarkt - Schweiz swd Unternehmensbewertung - Liquidität - Financial Engineering swd Wertpapiermarkt - Liquidität - Schweiz swd Securities Switzerland Liquidity (Economics) |
| subject_GND | (DE-588)4113937-9 |
| title | Liquidity in financial markets theory and application in the Swiss securities market structure |
| title_auth | Liquidity in financial markets theory and application in the Swiss securities market structure |
| title_exact_search | Liquidity in financial markets theory and application in the Swiss securities market structure |
| title_exact_search_txtP | Liquidity in financial markets theory and application in the Swiss securities market structure |
| title_full | Liquidity in financial markets theory and application in the Swiss securities market structure Jörg Rütschi |
| title_fullStr | Liquidity in financial markets theory and application in the Swiss securities market structure Jörg Rütschi |
| title_full_unstemmed | Liquidity in financial markets theory and application in the Swiss securities market structure Jörg Rütschi |
| title_short | Liquidity in financial markets |
| title_sort | liquidity in financial markets theory and application in the swiss securities market structure |
| title_sub | theory and application in the Swiss securities market structure |
| topic | Financial Engineering - Unternehmensbewertung - Liquidität swd Kreditmarkt - Liquidität swd Liquidität - Kreditmarkt swd Liquidität - Unternehmensbewertung - Financial Engineering swd Liquidität - Wertpapiermarkt - Schweiz swd Unternehmensbewertung - Liquidität - Financial Engineering swd Wertpapiermarkt - Liquidität - Schweiz swd Securities Switzerland Liquidity (Economics) |
| topic_facet | Financial Engineering - Unternehmensbewertung - Liquidität Kreditmarkt - Liquidität Liquidität - Kreditmarkt Liquidität - Unternehmensbewertung - Financial Engineering Liquidität - Wertpapiermarkt - Schweiz Unternehmensbewertung - Liquidität - Financial Engineering Wertpapiermarkt - Liquidität - Schweiz Securities Switzerland Liquidity (Economics) Schweiz - Wertpapiermarkt - Liquidität Schweiz Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016563523&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023546687 |
| work_keys_str_mv | AT rutschijorg liquidityinfinancialmarketstheoryandapplicationintheswisssecuritiesmarketstructure |