PROGRAMA DE DOUTORAMENTO EM ECONOMIA

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General equilibrium essays on securities financing transactions

Publication . Hunter, Guillermo; Páscoa, Mário

This dissertation studies different aspects of Securities Financing Transactions (SFT). The first chapter addresses the impact of repo margins on security prices. It is shown that when the agents leveraging their positions are short sellers, prices rise as margins go up. The second chapter studies how repo margins are determined in a model allowing for bankruptcy. The third chapter discusses shareholders' unanimity under market incompleteness when shares can be short sold. For a firm that is perfectly competitive both in the securities market and in the SFT market (a securities lending market), shareholders unanimously agree on maximizing firm's present value.

2018Tese de doutoramento

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Fundação para a Ciência e a Tecnologia

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SFRH/BD/74704/2010