Descripción del proyecto
Explicar la existencia de activos no negociables
La mayoría de los activos financieros se negocian en mercados extrabursátiles (OTC, por sus siglas en inglés) descentralizados. En estos mercados, una parte sustancial de los activos disponibles no son negociables. En este contexto, el equipo del proyecto NTAOTC, financiado por el Consejo Europeo de Investigación, examinará la razón por la que muchos activos en los mercados OTC no se negocian en primer lugar. Su idea es entender si los activos no negociables (NTA, por sus siglas en inglés) surgen por fricciones del mercado o por fricciones de agencia. Por ejemplo, las fricciones del mercado podrían deberse al hecho de que los agentes necesitan encontrar contrapartes que estén dispuestas a negociar (existen costes de búsqueda) o a restricciones de los intermediarios financieros, mientras que las fricciones de agencia son problemas de incentivos de los agentes.
Objetivo
Many financial assets trade in decentralized over-the-counter (OTC) markets, that is, there is no centralized marketplace and investors need to search for counterparties that are willing to trade. Contrary to centralized markets, in OTC markets a substantial share of available assets is non-traded. Existing OTC market research focuses on frequently traded assets but is unable to talk about non-traded assets (NTA). But, why do many assets in OTC markets not trade in the first place? Which frictions give rise to NTA? These questions are highly relevant for policy makers and financial stability as well because OTC markets play a central role in the financial system. This proposal presents three empirical projects that will advance our understanding of the role of intermediation frictions in OTC markets through a novel perspective—the lens of NTA.
Exploiting unique data for one of the largest OTC markets (U.S. corporate bonds), the research agenda comprises the following components:
1) Search Frictions and Non-Traded Assets. This part examines the role of search frictions for NTA. Ex-ante it is not obvious whether a large share of NTA is symptomatic of low or high search frictions. The idea is to exploit different types of shocks that affect investors’ search frictions and to investigate their impact on NTA.
2) Financial Intermediaries and Non-Traded Assets. This part studies whether financial intermediaries matter for NTA. Do assets trade more likely when intermediaries are financially unconstrained? To answer this question, the idea is to exploit detailed data on trading links between investors and dealers.
3) Corporate Finance and Non-Traded Assets. This part examines whether firms derive financial flexibility from NTA. If assets do not trade, then their investor base remains stable and investor-issuer relationships emerge. The idea is to study whether firms are more likely to implement debt management policies in NTA.
Ámbito científico
Palabras clave
Programa(s)
- HORIZON.1.1 - European Research Council (ERC) Main Programme
Régimen de financiación
HORIZON-ERC - HORIZON ERC GrantsInstitución de acogida
20136 Milano
Italia