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The Journal of Portfolio Management

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A Liquidity Program to Stabilize Equity Markets

Nazli Sila Alan, John S. Mask and Robert A. Schwartz
The Journal of Portfolio Management Winter 2015, 41 (2) 113-125; DOI: https://doi.org/10.3905/jpm.2015.41.2.113
Nazli Sila Alan
is an assistant professor of finance at Fairfield University’s Dolan School of Business in Fairfield, CT.
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  • For correspondence: nalan@fairfield.edu
John S. Mask
is vice president for trading and clearing services at Deutsche Börse AG in Eschborn, Germany.
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  • For correspondence: john.mask@deutsche-boerse.com
Robert A. Schwartz
is the Marvin M. Speiser Professor of Finance and University Distinguished Professor at Zicklin School of Business, Baruch College, CUNY in New York, NY.
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  • For correspondence: robert.schwartz@baruch.cuny.edu
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Abstract

The authors consider a program that, by bringing additional liquidity to the equity markets, would benefit market participants, listed companies, an exchange, and the broader economy. Established by an issuer, managed by a third-party, broker-dealer intermediary, formally structured and maximally transparent, the program involves corporate share repurchase in a falling market and issuance in a rising market. Simulation analysis is used to assess the procedure for 30 DOW and 30 DAX stocks over the five-year span of 2008 to 2012. Their findings indicate that the program can generate profits for firms that institute it. The authors suggest that additional steps be taken to refine, further test, and implement the procedure.

TOPICS: Exchanges/markets/clearinghouses, equity portfolio management, in markets

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The Journal of Portfolio Management: 41 (2)
The Journal of Portfolio Management
Vol. 41, Issue 2
Winter 2015
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A Liquidity Program to Stabilize Equity Markets
Nazli Sila Alan, John S. Mask, Robert A. Schwartz
The Journal of Portfolio Management Jan 2015, 41 (2) 113-125; DOI: 10.3905/jpm.2015.41.2.113

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A Liquidity Program to Stabilize Equity Markets
Nazli Sila Alan, John S. Mask, Robert A. Schwartz
The Journal of Portfolio Management Jan 2015, 41 (2) 113-125; DOI: 10.3905/jpm.2015.41.2.113
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  • Article
    • Abstract
    • THE SUPPLEMENTAL LIQUIDITY PROPOSAL
    • PRICE DISCOVERY IS A PUBLIC GOOD
    • ANALYTIC CONTEXT
    • EMPIRICAL ANALYSIS
    • THE SL PROGRAM VIS-À-VIS TRADITIONAL MARKET-MAKER OPERATIONS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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