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Over-the-counter Market (over-the-counter + market)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting83%

Selected Abstracts

Over-the-Counter Markets

ECONOMETRICA, Issue 6 2005
Darrell Duffie
We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid,ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid,ask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications. [source]

Liquidity in Asset Markets With Search Frictions

ECONOMETRICA, Issue 2 2009
Ricardo Lagos
We develop a search-theoretic model of financial intermediation in an over-the-counter market and study how trading frictions affect the distribution of asset holdings and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We show that these individual responses of asset demands constitute a fundamental feature of illiquid markets: they are a key determinant of trade volume, bid,ask spreads, and trading delays,the dimensions of market liquidity that search-based theories seek to explain. [source]

Who knows more about future currency volatility?

THE JOURNAL OF FUTURES MARKETS, Issue 3 2009
Charlie Charoenwong
We use four currency pairs from October 1, 2001 to September 29, 2006 to compare the predictive power of the implied volatility derived from currency option prices that are traded on the Philadelphia Stock Exchange (PHLX), Chicago Mercantile Exchange (CME), and over-the-counter market (OTC). Among the competing implied volatility forecasts, OTC-implied volatility subsumes the information content of PHLX- and CME-implied volatility. Consistent with extant studies our result also shows that the implied volatility provides more information about future volatility,regardless of whether it is from the OTC, PHLX, or CME markets,than time series based volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:270,295, 2009 [source]

Topical vitamins, minerals and botanical ingredients as modulators of environmental and chronological skin damage

BRITISH JOURNAL OF DERMATOLOGY, Issue 4 2003
A. Chiu
Summary Ageing skin is characterized by fine lines, wrinkles, lentigines, dyspigmentation and increased coarseness. Topical preparations alleged to combat these changes abound in the over-the-counter market. Some of the most popular ingredients used in these products are vitamins, minerals and botanical extracts. Proposed mechanisms for antiageing effects on skin range from antioxidant properties to improved collagen synthesis or protection from collagen breakdown. Despite the media attention and consumer popularity that these ingredients have generated, there have been few scientific studies to support these claims. In this report, we review recent published studies on the most common of these ingredients for the topical photoprotection and the treatment of ageing skin. [source]

Over-the-Counter Markets

ECONOMETRICA, Issue 6 2005
Darrell Duffie
We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid,ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid,ask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications. [source]

Hedging under counterparty credit uncertainty

THE JOURNAL OF FUTURES MARKETS, Issue 3 2008
Olivier Mahul
This study investigates optimal production and hedging decisions for firms facing price risk that can be hedged with vulnerable contracts, i.e., exposed to nonhedgeable endogenous counterparty credit risk. When vulnerable forward contracts are the only hedging instruments available, the firm's optimal level of production is lower than without credit risk. Under plausible conditions on the stochastic dependence between the commodity price and the counterparty's assets, the firm does not sell its entire production on the vulnerable forward market. When options on forward contracts are also available, the optimal hedging strategy requires a long put position. This provides a new rationale for the hedging role of options in the over-the-counter markets exposed to counterparty credit risk. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 248,263, 2008 [source]