Short Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity

Autor: Egle Karmaziene, Valeri Sokolovski

Publikováno v: Journal of Financial and Quantitative Analysis, 57(3), 923-956. Cambridge University Press
Karmaziene, E & Sokolovski, V 2022, ' Short Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity ', Journal of Financial and Quantitative Analysis, vol. 57, no. 3, pp. 923-956 . https://doi.org/10.1017/S0022109021000181

We examine short selling of equity exchange traded funds (ETFs) using the September 2008 short-sale ban. Contrasting the previously-documented contractions in other bearish strategies, we demonstrate that during the ban the short sales of the largest

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81b55de7b14eede5745a291ba626ed6d
https://doi.org/10.1017/S0022109021000181

In sickness and in debt: The COVID-19 impact on sovereign credit risk

Autor: Valeri Sokolovski, Marti G. Subrahmanyam, Patrick Augustin, Davide Tomio

Publikováno v: Journal of financial economics. 143(3)

The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country’s fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4015c0308ce47144ec782b4cfb91168
https://pubmed.ncbi.nlm.nih.gov/36268533

Hedge Funds and Financial Intermediaries

Autor: Valeri Sokolovski, Erik Sverdrup, Magnus Dahlquist

Publikováno v: SSRN Electronic Journal.

Hedge funds and financial intermediaries are connected through their prime brokerage relationship. We find that systematic financial intermediary risk is important for understanding the cross-section of hedge fund returns. We show that systematic sho

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::545eb7f0a994d8be5f97bb9b0f50a7b2
https://doi.org/10.2139/ssrn.3396632

Why Do Investors Buy Sovereign Default Insurance?

Autor: Patrick Augustin, Davide Tomio, Valeri Sokolovski, Marti G. Subrahmanyam

Publikováno v: SSRN Electronic Journal.

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS m

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b9b8916b875eeeb368f4ca14a58bb27e
https://doi.org/10.2139/ssrn.2848944