Zobrazeno 1 - 9 of 9 pro vyhledávání: '"Karamfil Todorov"'
3
Quantify the quantitative easing: Impact on bonds and corporate debt issuance
Autor: Karamfil Todorov
Publikováno v: Journal of Financial Economics. 135:340-358
This paper studies the impact of the European Central Bank’s (ECB) Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity, and debt issuance in the European corporate bond market using a data set on bond transactions from Euro
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::758d266ff58ff4f65e1f0172fe927b54
https://doi.org/10.1016/j.jfineco.2019.08.003
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7
What Drives Repo Haircuts? Evidence from the UK Market
Autor: Zijun Liu, Seyed Esmaeil Seyedan, Christian Julliard, Karamfil Todorov, Kathy Yuan
Publikováno v: SSRN Electronic Journal.
Using a regulatory transaction-level dataset of the UK repo market, we examine the determinants of haircuts. We find that transaction maturity and collateral quality is of a first order importance in determining haircuts. We also find that counterpar
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8a4915e7605c088ab93e3e9ec74afbd8
https://doi.org/10.2139/ssrn.3374969
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8
Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets
Autor: Karamfil Todorov
Publikováno v: SSRN Electronic Journal.
This paper studies exchange-traded funds’ (ETFs) price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities. I propose a model-independent approach to replicate the VIX futures contract. This allows me to isolate a non-f
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1a154fa36962f4cd5c223df8f676e3b5
https://doi.org/10.2139/ssrn.3504016
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9
Quantify the Quantitative Easing: Impact on Bond Liquidity and Corporate Debt Issuance
Autor: Karamfil Todorov
Publikováno v: SSRN Electronic Journal.
This paper studies the impact of the ECB’s Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity and debt issuance in the European corporate bond market using a dataset on bond transactions from Euroclear. I find that the QE
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f5977082c3d40f09dddd9e063b8a077e
https://doi.org/10.2139/ssrn.3139875
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