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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]
, spread and volume changes are predictable to a considerable degree using lagged market returns, lagged interest rates, lagged …We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991 …-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further …
Persistent link: https://www.econbiz.de/10001629622
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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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Stock market reaction to financial statement certification by bank holding company CEOs
Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]
—are systematically associated with these certification day abnormal returns. In addition, average returns for not-yet-certifying BHCs …
Persistent link: https://www.econbiz.de/10001783071
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Fifteen minutes of fame? : the market impact of internet stock picks
Antunovich, Peter (contributor); Sarkar, Asani (contributor) - 2003 - [Elektronische Ressource]
. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results … exposure enjoy greater liquidity gains and lower excess returns on the pick day. …
Persistent link: https://www.econbiz.de/10001751980
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …
Persistent link: https://www.econbiz.de/10001752003
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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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Forecasting recessions using the yield curve
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630849
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10002101431