Similar Search Results

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

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004

which some traders have better information on future price volatility. As limit orders have option-like features, this … information is valuable for limit order traders. We solve for informed and uninformed limit order tradersâ€™ bidding strategies in …

Persistent link: https://www.econbiz.de/10005248997

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be alternatively used for speculative purposes during the crisis. In...

Persistent link: https://www.econbiz.de/10004998822

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

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

Search costs and investor trading activity: evidences from limit order book

Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2010

We analyze in this study investor trading behavior based not on information related assumptions but on the search model …

Persistent link: https://www.econbiz.de/10009654221

Carry Trades and Global FX Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Volkswirtschaftliche Fakultät, … - 2009

We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate currencies provide a hedge against volatility shocks....

Persistent link: https://www.econbiz.de/10005836150