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Quantiles of the realized stock–bond correlation and links to the macroeconomy

Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of Empirical Finance 28 (2014) C, pp. 321-331

This paper adopts quantile regressions to scrutinize the realized stock–bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers factors constructed from a large number of macro-finance predictors well-known from the return...

Persistent link: https://www.econbiz.de/10010939522

Portfolio selection in a data-rich environment

Bouaddi, Mohammed; Taamouti, Abderrahim - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2943-2962

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to improve portfolio selection. We use factor...

Persistent link: https://www.econbiz.de/10010870990

Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Persistent link: https://www.econbiz.de/10011084700

APT or "AIPT"? The Surprising Dominance of Large Factor Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2024

We introduce artificial intelligence pricing theory (AIPT). In contrast with the APT's foundational assumption of a low dimensional factor structure in returns, the AIPT conjectures that returns are driven by a large number of factors. We first verify this conjecture empirically and show that...

Persistent link: https://www.econbiz.de/10015072953

Liquidity and investment horizon

Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742

Optimal liquidity provision in limit order markets

Kühn, Christoph; Muhle-Karbe, Johannes - 2013

A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and … the liquidity provider under consideration …

Persistent link: https://www.econbiz.de/10010258976

Liquidation with self-exciting price impact

Cayé, Thomas; Muhle-Karbe, Johannes - 2014

We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...

Persistent link: https://www.econbiz.de/10011293738

The liquidity buffer practices of public debt managers in OECD countries

Cruz, Pedro; Koc, Fatos - 2018

This paper summarises and discusses results from a survey of the liquidity buffer practices of debt managers in OECD … Turkey provide a deeper insight into liquidity buffer practices. While the level, investment, transparency and other … governance features vary, the survey results show that keeping a liquidity buffer is a common practice among debt management …

Persistent link: https://www.econbiz.de/10011976166

Share repurchases and institutional supply

Jared DeLisle, R.; Morscheck, J.D.; Nofsinger, John R. - In: Journal of Corporate Finance 27 (2014) C, pp. 216-230

average, institutional shareholders are net sellers during share repurchases. After controlling for liquidity provision and … attributed to institutional investors executing liquidity provision strategies, 8% is explained by institutions reacting to the …

Persistent link: https://www.econbiz.de/10010906834

Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index

De Winne, Rudy; Gresse, Carole; Platten, Isabelle - In: International Review of Financial Analysis 34 (2014) C, pp. 31-43

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

Persistent link: https://www.econbiz.de/10010931498

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