Arbeitspapier
Central Clearing and Asset Prices
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns of -1.08% per month during a 16-month announcement window. We also find negative effects on price-earnings ratios. The decrease in prices is less pronounced for stocks with low number of counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that introducing a CCP may have unintended negative consequences for public corporations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-181/IV/DSF67
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
clearing
asset prices
margins
liquidity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Menkveld, Albert J.
Pagnotta, Emiliano
Zoican, Marius A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Menkveld, Albert J.
- Pagnotta, Emiliano
- Zoican, Marius A.
- Tinbergen Institute
Entstanden
- 2013
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