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Stock market reaction to financial statement certification by bank holding company CEOs

Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]

had a measurable effect on the stock market valuation of the forty-two bank holding companies subject to the SEC order. I …

Persistent link: https://www.econbiz.de/10001783071

Fifteen minutes of fame? : the market impact of internet stock picks

Antunovich, Peter (contributor); Sarkar, Asani (contributor) - 2003 - [Elektronische Ressource]

We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick...

Persistent link: https://www.econbiz.de/10001751980

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-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10001752003

Evaluating the riskiness of initial public offerings: 1980 - 2000

Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752009

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]

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, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10001629622

How do stock repurchases affect bank holding company performance?

Hirtle, Beverly J. (contributor) - 2001 - [Elektronische Ressource], draft March 2001

Using data from bank holding company regulatory reports, we examine the relationshipbetween stock repurchases and … financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that … be driven primarily by bank holding companies with publicly traded stock, especially those companies whose stock is …

Persistent link: https://www.econbiz.de/10001589572

When is US bank lending to emerging markets volatile?

Goldberg, Linda S. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001589537

Does foreign ownership contribute to sounder banks in emerging markets? : the Latin American experience

Crystal, Jennifer S. (contributor); … - 2001 - [Elektronische Ressource]. - Rev. May 29, 2001

Foreign bank entrants into emerging markets are usually thought to improve the condition and performance of acquired … institutions, and more generally to enhance local financial stability. We use bank-specific data for a range of Latin American …

Persistent link: https://www.econbiz.de/10001630856

Comovement revisited

Kasch, Maria; Sarkar, Asani - Federal Reserve Bank of New York - 2011

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...

Persistent link: https://www.econbiz.de/10008862221

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - Federal Reserve Bank of New York - 2010

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10008461965