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Dealer activity and macro fundamentals : new evidence from hybrid exchange rate models

Krohn, Ingomar; Moore, Michael J. - In: Journal of international money and finance 95 (2019), pp. 363-378

Persistent link: https://www.econbiz.de/10012139587

Short selling and price discovery in corporate bonds

Hendershott, Terrence; Kozhan, Roman; Raman, Vikas - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 1, pp. 77-115

Persistent link: https://www.econbiz.de/10012195436

The informativeness of derivatives use : evidence from corporate disclosure through public announcements

Fernando, Chitru S.; Hoelscher, Seth A.; Raman, Vikas - In: Journal of banking & finance 114 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012489013

Fails-to-deliver, short selling, and market quality

Fotak, Veljko; Raman, Vikas; Yadav, Pradeep K. - In: Journal of Financial Economics 114 (2014) 3, pp. 493-516

We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate...

Persistent link: https://www.econbiz.de/10011076296

FX spot and swap market liquidity spillovers

Krohn, Ingomar; Sushko, Vladyslav - In: Journal of international money and finance 120 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013417403

Same same but different : stylized facts of CTA sub strategies

Erdős, Péter; Li, Youwei; Liu, Ruipeng; Mende, Alexander - In: International review of financial analysis 74 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803930

Duration dependence, behavioral restrictions, and the market timing ability of commodity trading advisors

Elaut, Gert; Frömmel, Michael; Mende, Alexander - In: International review of finance 17 (2017) 3, pp. 427-450

Persistent link: https://www.econbiz.de/10011807165

Profits and speculation in intra-day foreign exchange trading

Mende, Alexander; Menkhoff, Lukas - In: Journal of Financial Markets 9 (2006) 3, pp. 223-245

Persistent link: https://www.econbiz.de/10005320009

The crisis alpha of managed futures : myth or reality?

Asif, Raheel; Frömmel, Michael; Mende, Alexander - In: International review of financial analysis 80 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013366290

Order flows, news, and exchange rate volatility

Frömmel, Michael; Mende, Alexander; Menkhoff, Lukas - In: Journal of International Money and Finance 27 (2008) 6, pp. 994-1012

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank's high frequency dollar/euro trading, three different kinds of order flow are used in addition to seasonal...

Persistent link: https://www.econbiz.de/10005109056