Market participants who want to trade “quickly” demand transactional liquidity. Market participants who demand to trade “immediately” demand transactional immediacy. Traders supply immediacy when the trading returns are high and demand immediacy when the trading returns are low. Traders...

This paper investigates the asymptotic size properties of robust subset tests when instruments are left out of the analysis. Recently, robust subset procedures have been developed for testing hypotheses which are specified on the subsets of the structural parameters or on the parameters...

We question whether the use of social networks to exit unemployment matters in Cameroon. We develop a Weibull-type duration model which allows us to address this issue in a convenient way. Our investigations indicate that there is a strong evidence of endogeneity and sample selection biases. We...

The misevaluation of risk in securitized ?nancial products is central to understand- ing the Financial Crisis of 2007-2008. This paper characterizes the evolution of factors a¤ecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime-mortgage backed...

The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model speci?cally accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated negative term premia for 1980-2007 is decomposed...

Textbooks present the three ‘degrees’ of price discrimination as a sequence of independent pricing methods. These textbook treatments consequently provide inadequate insight as to when a firm might adopt a particular pricing strategy. The paper describes an informationbased taxonomy of price...

The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using...

This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency...