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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2001 - [Elektronische Ressource]
more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …
Persistent link: https://www.econbiz.de/10001629622
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Do stock price bubbles influence corporate investment?
Gilchrist, Simon (contributor);  … - 2004 - [Elektronische Ressource]
Building on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a "bubble," or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to...
Persistent link: https://www.econbiz.de/10001936312
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Are larger treasury issues more liquid? : Evidence from bill reopenings
Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656398
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Measuring treasury market liquidity
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590059
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
Persistent link: https://www.econbiz.de/10001752003
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10001936329
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Modeling uncertainty : predictive accuracy as a proxy for predictive confidence
Rich, Robert W. (contributor); Tracy, Joseph S. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751995
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Evaluating the riskiness of initial public offerings: 1980 - 2000
Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752009
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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