Description du projet
Expliquer l’existence des actifs non négociés
La majorité des actifs financiers sont échangés sur des marchés décentralisés de gré à gré. Sur les marchés de gré à gré, une part importante des actifs disponibles n’est pas négociée. Dans ce contexte, le projet NTAOTC, financé par le CER, examinera les raisons pour lesquelles de nombreux actifs sur les marchés de gré à gré ne sont pas négociés. L’idée de cette proposition est de comprendre si les actifs non négociés (NTA pour «non-traded assets») sont dus à des frictions de marché ou à des frictions d’agence. Par exemple, les frictions de marché pourraient être le fait que les agents doivent trouver des contreparties disposées à échanger (moyennant des coûts de recherche) ou les contraintes des intermédiaires financiers, tandis que les problèmes d’incitation des agents constituent des frictions d’agence.
Objectif
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.
Champ scientifique
Mots‑clés
Programme(s)
- HORIZON.1.1 - European Research Council (ERC) Main Programme
Thème(s)
Régime de financement
HORIZON-ERC - HORIZON ERC GrantsInstitution d’accueil
20136 Milano
Italie