Narrow search
Showing 1 - 10 of 14
Cover Image
Liquidity dynamics in an electronic open limit order book: An event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10009321684
Cover Image
Commonalities in the order book
Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim G. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...
Persistent link: https://www.econbiz.de/10008684973
Cover Image
Tell-tale tails: A data driven approach to estimate unique market information shares
Grammig, Joachim G.; Peter, Franziska J. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...
Persistent link: https://www.econbiz.de/10008684984
Cover Image
Are bank holding companies a source of strength to their banking subsidiaries?
Ashcraft, Adam B. (contributor) - 2004 - [Elektronische Ressource]
I present evidence that the cross-guarantee authority granted to the FDIC by the Financial Institutions Reform, Recovery, and Enforcement Act of 1989 has unexpectedly strengthened the Federal Reserve's source-of-strength doctrine. In particular, I find that a bank affiliated with a multi-bank...
Persistent link: https://www.econbiz.de/10002128532
Cover Image
The role of bank advisors in mergers and acquisitions
Allen, Linda (contributor) - 2002 - [Elektronische Ressource]
"This paper looks at the role of both commercial and investment banks in providing merger advisory services. In this area, unlike some areas of investment banking, commercial banks have always been allowed to compete directly with investment banks. In their dual role as lenders and advisors to...
Persistent link: https://www.econbiz.de/10001656388
Cover Image
Are bank shareholders enemies of regulators or a potential source of market discipline?
Park, Sangkyun (contributor);  … - 2001 - [Elektronische Ressource]
In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk-taking incentive is outweighed by the possibility of losing...
Persistent link: https://www.econbiz.de/10001630859
Cover Image
Stock market reaction to financial statement certification by bank holding company CEOs
Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]
In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation...
Persistent link: https://www.econbiz.de/10001783071
Cover Image
How do stock repurchases affect bank holding company performance?
Hirtle, Beverly J. (contributor) - 2001 - [Elektronische Ressource], draft March 2001
financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that … traded on major exchanges. The finding that higher repurchases are followed by better financial performance is consistent … evidence suggesting that the repurchase-performance link may be driven by different factors for different types of bank holding …
Persistent link: https://www.econbiz.de/10001589572
Cover Image
Preferential regulatory treatment and banks' demand for government bonds
Bonner, Clemens - de Nederlandsche Bank - 2014
Government bonds receive preferential treatment in financial regulation. The purpose of this paper is to analyze the impact of this preferential treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in liquidity...
Persistent link: https://www.econbiz.de/10010812608
Cover Image
Liquidity risk and U.S. bank lending at home and abroad
Goldberg, Linda S.; Correa, Ricardo; Rice, Tara - Federal Reserve Bank of New York - 2014
global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …
Persistent link: https://www.econbiz.de/10010784189