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C.E.P.R. Discussion Papers
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
919
National Bureau of Economic Research (NBER)
496
National Bureau of Economic Research
446
Université Paris-Dauphine (Paris IX)
253
EconWPA
194
International Monetary Fund (IMF)
117
Center for Financial Studies
84
CESifo
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Bank of Canada
73
Institut für Weltwirtschaft (IfW)
66
International Monetary Fund
66
Tilburg University, Center for Economic Research
65
Tinbergen Instituut
63
Society for Computational Economics - SCE
61
East Asian Bureau of Economic Research (EABER)
60
Institut de Préparation à l'Administration et à la Gestion (IPAG)
60
Suomen Pankki
60
Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
57
de Nederlandsche Bank
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Department of Economics and Business, Universitat Pompeu Fabra
53
Deutsche Bundesbank
53
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50
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47
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47
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46
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39
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39
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37
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36
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35
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35
SUERF - The European Money and Finance Forum
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Centre Emile Bernheim, Solvay Brussels School of Economics and Management
34
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
33
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CEPR Discussion Papers
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1
Liquidity
Supply and Demand in Limit Order Markets
Hollifield, Burton
;
Miller, Robert A.
;
Sandås, Patrik
; …
-
C.E.P.R. Discussion Papers
-
2002
We model a trader’s decision to supply
liquidity
by submitting limit orders or demand
liquidity
by submitting market … rate of traders and increases the number of value traders arriving —
liquidity
supply is more competitive after periods of … arriving —
liquidity
supply is less competitive when the spread widens. …
Persistent link: https://www.econbiz.de/10005136412
Saved in:
2
The impact of dark trading and visible fragmentation on market quality
de Jong, Frank
;
Degryse, Hans
;
van Kervel, Vincent
-
C.E.P.R. Discussion Papers
-
2011
paper evaluates the impact of dark trading and fragmentation in visible order books on
liquidity
. We consider global …
liquidity
by consolidating the limit order books of all visible trading venues, and local
liquidity
by considering the … traditional market only. We find that fragmentation in visible order books improves global
liquidity
, whereas dark trading has a …
Persistent link: https://www.econbiz.de/10009359491
Saved in:
3
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
Rockinger, Michael
;
Urga, Giovanni
-
C.E.P.R. Discussion Papers
-
2000
liquidity
hypothesis. …
Persistent link: https://www.econbiz.de/10005504665
Saved in:
4
Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges
Zalewska, Ania
-
C.E.P.R. Discussion Papers
-
1999
This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...
Persistent link: https://www.econbiz.de/10005497754
Saved in:
5
A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates
Payne, Richard
;
Vitale, Paolo
-
C.E.P.R. Discussion Papers
-
2001
) temporarily reduces market
liquidity
. …
Persistent link: https://www.econbiz.de/10005497953
Saved in:
6
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession,
liquidity
…
Persistent link: https://www.econbiz.de/10011083673
Saved in:
7
The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V
;
Steffen, Sascha
-
C.E.P.R. Discussion Papers
-
2013
This paper argues that the European banking crisis can in part be explained by a “carry trade” behavior of banks. Factor loading estimates from multifactor models relating equity returns to GIPSI (Greece, Ireland, Portugal, Spain and Italy) and German government bond returns suggest that...
Persistent link: https://www.econbiz.de/10011084468
Saved in:
8
Sovereign Debt Rating Changes and the Stock Market
Michaelides, Alexander
;
Milidonis, Andreas
;
Nishiotis, …
-
C.E.P.R. Discussion Papers
-
2012
Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional...
Persistent link: https://www.econbiz.de/10011084556
Saved in:
9
The Exchange Rate Effect of Multi-Currency Risk Arbitrage
Hau, Harald
-
C.E.P.R. Discussion Papers
-
2009
This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...
Persistent link: https://www.econbiz.de/10005034758
Saved in:
10
Optimal Informed Trading in the Foreign Exchange Market
Vitale, Paolo
-
C.E.P.R. Discussion Papers
-
2007
between the private value of information, market efficiency,
liquidity
and exchange rate volatility. Our model is also …
Persistent link: https://www.econbiz.de/10005656205
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