Showing 1 - 10 of 13
Die Betreuer am neuen Markt sollen die Effizienz des Handels durch Bereitstellung zusätzlicher Liquidität erhöhen. Die vorliegende Studie untersucht den Liquiditätsbeitrag der Betreuer in zwei aufeinanderfolgenden Jahren. Die Beteiligung der Betreuer am Umsatz des Marktes hat im beobachteten...
Persistent link: https://www.econbiz.de/10010986407
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …
Persistent link: https://www.econbiz.de/10010986436
credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …
Persistent link: https://www.econbiz.de/10010986438
The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...
Persistent link: https://www.econbiz.de/10010958489
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010958491
that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …
Persistent link: https://www.econbiz.de/10010958533
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …
Persistent link: https://www.econbiz.de/10010958534
This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes … of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the …
Persistent link: https://www.econbiz.de/10010958667
We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity...
Persistent link: https://www.econbiz.de/10010958675
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …
Persistent link: https://www.econbiz.de/10010958715