Centralizing Over-The-Counter Markets?

Jason Allen, Milena Wittwer   Jul 18,2023

Working Paper No.00109-00

In traditional over-the-counter markets, investors trade bilaterally through intermediaries. We assess whether and how to shift trades on a centralized... Read More

Intermediary Capital Constraints and Market Power

Jason Allen, Milena Wittwer   Jul 18,2023

Working Paper No.00110-00

We examine how intermediary capitalization affects  asset prices in a framework that allows for intermediary market power.  We introduce a... Read More

Comparing Search and Intermediation Frictions Across Markets

Gabor Pinter, Semih Uslu   Aug 26,2023

Working Paper No.00127-00

In intermediated markets, trading takes time and intermediaries extract rents. We estimate a structural search-and-bargaining model to quantify these trading... Read More

The Rise of Factor Investing: "Passive" Security Design and Market Implications

Douglas Xu, Shiyang Huang , Lin William Cong (叢林)   Dec 30,2023

Working Paper No.00133-00

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that... Read More