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Secondary Market (secondary + market)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	91%

Distribution within Business, Economics, Finance and Accounting

General & Introductory Economics	45%
General & Introductory Finance & Investments	36%

Selected Abstracts

Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach,

ECONOMIC NOTES, Issue 3 2004
Annalisa Di Clemente
In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non-normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula-based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t-copula, the grouped t-copula and the Clayton n-copula (or Cook,Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps. [source]

Uncertain Demand, Heterogeneous Expectations, and Unintentional IPO Underpricing

FINANCIAL REVIEW, Issue 1 2006
Bruce K. Gouldey
G12; G24; G30 Abstract Distinguishing between intentional and unintentional incentives to underprice initial public offerings (IPOs), I develop sufficient conditions for the winners' curse postulated by Miller (1977) and implications for intertemporal changes in the magnitude of underpricing. Specifically, I show that unintentional underpricing (and occasional overpricing) of IPOs is a consequence of investors' heterogeneous expectations of the uncertain value of a stock when the supply is constrained and the underwriter's price discovery process only partially identifies aggregate demand. Moreover, an IPO that is oversubscribed in the premarket sale almost certainly will experience a short-term price increase in the secondary market. [source]

Presidential Address: Issuers, Underwriter Syndicates, and Aftermarket Transparency

THE JOURNAL OF FINANCE, Issue 4 2007
RICHARD C. GREEN
ABSTRACT I model strategic interaction among issuers, underwriters, retail investors, and institutional investors when the secondary market has limited price transparency. Search costs for retail investors lead to price dispersion in the secondary market, while the price for institutional investors is infinitely elastic. Because retail distribution capacity is assumed to be limited for each underwriter-dealer, Bertrand competition breaks down in the primary market and new issues are underpriced in equilibrium. Syndicates emerge in which underwriters bid symmetrically, with quantities allocated internally to efficiently utilize retail distribution capacity. [source]

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

THE JOURNAL OF FUTURES MARKETS, Issue 4 2008
Rainer Baule
This study analyzes bank margins in the German secondary market for exchange-traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied to compare quoted and fair theoretical prices. For discount certificates, as the most popular type of structured financial products in Germany, an empirical study is conducted. Compared to earlier studies, total margins are found to be rather low, whereas the portion that draws back to credit risk appears to be a material part of the total margin. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 376,397, 2008 [source]

Durable-goods oligopoly with secondary markets: the case of automobiles

THE RAND JOURNAL OF ECONOMICS, Issue 2 2007
Susanna Esteban
We study the effects of durability and secondary markets on equilibrium firm behavior in the car market. We construct a dynamic oligopoly model of a differentiated product market to incorporate the equilibrium production dynamics that arise from the durability of the goods and their active trade in secondary markets. We derive an econometric model and estimate its parameters using data from the automobile industry over a 20-year period. Our estimates are used to provide a measure of the competitive importance of the secondary market. [source]

Economic Analysis Of The Droit De Suite, The Artist's Resale Royalty

AUSTRALIAN ECONOMIC PAPERS, Issue 4 2003
J. D. Stanford
Interest in the Droit de Suite, the artist's resale royalty, has been re-kindled by the decision of the European Union to introduce such a scheme to apply from 2006. The general nature of the Droit de Suite as an extension of copyright is discussed. The specific proposals for a Droit de Suite in Australia are analysed. Economic arguments support the sceptical view of the Droit de Suite. It is argued that the introduction of the Droit de Suite would be predicted to reduce sales of new paintings, that selling activity would move to jurisdictions which do not have a Droit de Suite and that artists would prefer to alienate their Droit de Suite by sale of a painting. The economic analysis is supplemented by an empirical study of art auction prices of 72 artists in Australia over the period 1973,1989 which reveals that the works few artists achieve a capital gain on sale in the secondary market re-inforcing the view that, if implemented, a Droit de Suite would provide payments to only a small number of artists who are likely to be in good economic circumstances. The burden of the Droit de Suite is shown to fall on the collector when selling paintings. The effect of the imposition of the Droit de Suite will be to lower the gain to collectors of paintings. It is concluded that the Australian proposal for the Droit de Suite is based on an inadequate analysis of the art market and would require a registration procedure for art works incurring heavy costs in relation to the funds available for distribution. [source]

The Influence of a Neighbouring Market on Product Qualities and Prices

AUSTRALIAN ECONOMIC PAPERS, Issue 3 2001
Mark R. Frascatore
This paper analyses a model of vertical product differentiation in which there is a primary market with two firms and a secondary market with no firms. Consumers in the secondary market incur a cost when purchasing the product from the primary market. The firms sequentially choose product quality and then simultaneously choose prices. Firm 1 always chooses the maximum quality, while firm 2"s quality and the prices depend on the cost. Also, the cost determines which firm(s), if either, serves the secondary market. It is shown that the firms and the consumers of each market prefer different levels of costs. [source]

DISRUPTING ILLEGAL FIREARMS MARKETS IN BOSTON: THE EFFECTS OF OPERATION CEASEFIRE ON THE SUPPLY OF NEW HANDGUNS TO CRIMINALS,

CRIMINOLOGY AND PUBLIC POLICY, Issue 4 2005
ANTHONY A. BRAGA
Research Summary: The question of whether the illegal firearms market serving criminals and juveniles can be disrupted has been vigorously debated in policy circles and in the literature on firearms and violence. To the extent that prohibited persons, in particular, are supplied with guns through systematic gun trafficking, focused regulatory and investigative resources may be useful in disrupting the illegal supply of firearms to criminals. In Boston, a gun market disruption strategy was implemented that focused on shutting down illegal diversions of new handguns from retail sources. Multivariate regression analyses were used to estimate the effects of the intervention on new handguns recovered in crime. Our results suggest that focused enforcement efforts, guided by strategic analyses of ATF firearms trace data, can have significant impacts on the illegal supply of new handguns to criminals. Policy Implications: The problem-oriented policing approach provides an appropriate framework to uncover the complex mechanisms at play in illicit firearms markets and to develop tailor-made interventions to disrupt the illegal gun trade. Strategic enforcement programs focused on the illegal diversion of new firearms from primary markets can reduce the availability of new guns to criminals. However, the extent to which criminals substitute older guns for new guns and move from primary markets to secondary markets in response to an enforcement strategy focused on retail outlets remains unclear. Our evaluation also does not provide policy makers with any firm evidence on whether supply-side enforcement strategies have any measurable impacts on gun violence. Jurisdictions suffering from gun violence problems should implement demand-side violence prevention programs to complement their supply-side efforts. [source]

Cell phone roulette and "consumer interactive" quality

JOURNAL OF POLICY ANALYSIS AND MANAGEMENT, Issue 2 2005
Peter Navarro
Under current policies, cell phone consumers face a lower probability of finding the best carrier for their usage patterns than winning at roulette. Corroborating survey data consistently show significant dissatisfaction among cell phone users, network performance is a major issue, and customer "churn" is high. This problem may be traced to a new form of "consumer interactive" quality characteristic of emergent high technology products such as cell phone and broadband services. This problem is unlikely to be resolved by effective search and sampling, efficient secondary markets, or voluntary carrier disclosure. Traditional one-dimensional disclosure responses to this new variation on an old asymmetric information problem should give way to a more multi-faceted and fine-grained policy approach. © 2005 by the Association for Public Policy Analysis and Management [source]