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Credit risk transfers and the macroeconomy

Faia, Ester - Center for Financial Studies - 2010

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

Why do investors sell losers? How adaptation to losses affects future capitulation decisions

Lee, Carmen; Kräussl, Roman; Lucas, André; Paas, Leo - Center for Financial Studies - 2010

According to disposition effect theory, people hold losing investments too long. However, many investors eventually sell at a loss, and little is known about which psychological factors contribute to these capitulation decisions. This study integrates prospect theory, utility maximization...

Persistent link: https://www.econbiz.de/10010986451

Analysis of binary trading patterns in Xetra

Maurer, Kai-Oliver; Schäfer, Carsten - Center for Financial Studies - 2010

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

Persistent link: https://www.econbiz.de/10010986498

The volatility of capital flows to emerging markets and financial services trade

Beck, Roland - Center for Financial Studies - 2000

This paper examines empirically the question whether the presence of foreign banks and a liberal trade regime with regard to financial services can contribute to a stabilization of capital flows to emerging markets. Since foreign banks, so the argument goes, provide better information to foreign...

Persistent link: https://www.econbiz.de/10010958599

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - Center for Financial Studies - 2000

international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also …

Persistent link: https://www.econbiz.de/10010958704

Die Betreuer am Neuen Markt: eine empirische Analyse

Gerke, Wolfgang; Bosch, Robert - Center for Financial Studies - 1999

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

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009

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

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

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

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Persistent link: https://www.econbiz.de/10010958491

The diminishing liquidity premium

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008

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