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Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues

Langedijk, Sven; Monokroussos, George; Papanagiotou, … - Volkswirtschaftliche Fakultät, … - 2015

-frequency information, as is common practice. We conclude that the empirical correlations between benchmarks and proxies in general become …

Persistent link: https://www.econbiz.de/10011156975

Liquidity and Asset Prices

Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be...

Persistent link: https://www.econbiz.de/10008645110

Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -

Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013

The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications,...

Persistent link: https://www.econbiz.de/10011201776

Liquidity and Dividend Policy

Igan, Deniz; de Paula, Aureo; Pinheiro, Marcelo - Volkswirtschaftliche Fakultät, … - 2006

We document the association between a firm's payout policy and its stock's liquidity. In particular, we show that dividend-paying firms have a more liquid market for their stock and measures of a stock's liquidity is positively linked to its probability of being a dividend payer. Furthermore,...

Persistent link: https://www.econbiz.de/10008871305

Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

Persistent link: https://www.econbiz.de/10005786918

Bank balance sheet constraints and bond liquidity

Breckenfelder, Johannes; Ivashina, Victoria - 2021

We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds'...

Persistent link: https://www.econbiz.de/10012622810

Money markets, central bank balance sheet and regulation

Corradin, Stefano; Eisenschmidt, Jens; Hoerova, Marie; … - 2020

This paper analyses money market developments since 2005, and examines factors that have affected money market functioning. We consider several metrics of activity in both secured and unsecured euro area money markets, and study interactions with new Basel III regulations and with central bank...

Persistent link: https://www.econbiz.de/10012301955

Unconventional monetary policy and funding liquidity risk

Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020

dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …

Persistent link: https://www.econbiz.de/10012137673

Quantitative easing and the price-liquidity trade-off

Ferdinandusse, Marien; Freier, Maximilian; Ristiniemi, … - 2020

We consider the effects of quantitative easing on liquidity and prices of bonds in a search- and matching model. The model explicitly distinguishes between demand and supply effects of central bank asset purchases. Both are shown to lead to a decline in yields, while they have opposite effects...

Persistent link: https://www.econbiz.de/10012212850

Price informativeness and predictability: how liquidity can help

Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2008

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price … enhanced when conditioning on trading liquidity. It reduces information asymmetry in the sense of Easley and O’Hara (2004) and …

Persistent link: https://www.econbiz.de/10009654214