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Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk

Heider, F.; Hoerova, M.; Holthausen, C. - Tilburg University, Center for Economic Research - 2009

rate spread and full participation; 2) elevated spread and adverse selection; and 3) liquidity hoarding leading to a market …

Persistent link: https://www.econbiz.de/10011092152

High Frequency Trading, Information, and Takeovers

Humphery-Jenner, M. - Tilburg University, Center for Economic Research - 2011

This paper (1) proposes new variables to detect informed high-frequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT in uences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but...

Persistent link: https://www.econbiz.de/10011091603

Internalization, Clearing and Settlement, and Liquidity

Degryse, Hans; van Achter, M.; Wuyts, G. - Tilburg University, Center for Economic Research - 2012

Abstract: We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and … observed liquidity in the market. The second fee structure features a CSD breaking even by charging the internalized and non …-broker counterparties only. This difference in post-trading fees drives traders'strategies and thus liquidity. Furthermore, across the two …

Persistent link: https://www.econbiz.de/10011090324

The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)

Degryse, Hans; de Jong, Frank C. J. M.; van Kervel, V.L. - Tilburg University, Center for Economic Research - 2011

order books. This paper evaluates the impact on liquidity of fragmentation in visible order books and dark trading for a … sample of 52 Dutch stocks. We consider global liquidity by consolidating the entire limit order books of all visible European … trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order …

Persistent link: https://www.econbiz.de/10011090715

Aggressive Orders and the Resiliency of a Limit Order Market

Degryse, Hans; de Jong, Frank C. J. M.; van Ravenswaaij, M. - Tilburg University, Center for Economic Research - 2002

We analyze the resiliency of a pure limit order market for large and small capitalization stocks as well as stocks with different tick sizes.We explore the issue of resiliency by investigating the order flow around aggressive orders that move prices.The impact of aggressive orders is gauged in...

Persistent link: https://www.econbiz.de/10011091148

Blocks, liquidity and corporate control

Bolton, P.; von Thadden, E.L. - Tilburg University, Center for Economic Research - 1996

Persistent link: https://www.econbiz.de/10011091242

The Lender of Last Resort : Liquidity Provision Versus the Possibility of Bail-out

Eijffinger, Sylvester; Nijskens, R.G.M. - Tilburg University, Center for Economic Research - 2010

banks have provided liquidity and ministries of finance have set up rescue programmes to restore confidence and stability …. Using a model of a systemic bank suffering from liquidity shocks, we find that the unregulated bank keeps too much liquidity … and takes excessive risk compared to the social optimum. A Lender of Last Resort can alleviate the liquidity problem, but …

Persistent link: https://www.econbiz.de/10011092076

Credit Cycle and Adverse Selection Effects in Consumer Credit Markets – Evidence from the HELOC Market

Calem, P.; Cannon, M.; Nakamura, L.I. - Tilburg University, Center for Economic Research - 2011

for liquidity may affect borrowing. …

Persistent link: https://www.econbiz.de/10011092716

Credit Supply versus Demand : Bank and Firm Balance-Sheet Channels in Good and Crisis Times

Jimenez Porras, G.; Ongena, S.; Peydro, J.L.; Saurina, J. - Tilburg University, Center for Economic Research - 2012

Abstract: Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing...

Persistent link: https://www.econbiz.de/10011092853

Monetary Policy Rules, Adverse Selection and Long-Run Financial Risk

Eijffinger, Sylvester; Blommestein, H.J.; Qian, Z. - Tilburg University, Center for Economic Research - 2011

This paper constructs a macro-finance model with two types of borrowers: entrepreneurs who engage in productive activities and gamblers who play in lotteries. It links a central bank's interest rate policy to expected cash ows of both types of borrowers. Via this link we study how the...

Persistent link: https://www.econbiz.de/10011090362