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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard "variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10011256044

Splitting Orders in Fragmented Markets

Menkveld, Bert - Tinbergen Instituut - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10011256874

Aggregate Stock Market Illiquidity and Bond Risk Premia

Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - Tinbergen Instituut - 2012

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...

Persistent link: https://www.econbiz.de/10011256063

Banks and Market Liquidity

Arping, Stefan - Tinbergen Instituut - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

Persistent link: https://www.econbiz.de/10011256979

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

Persistent link: https://www.econbiz.de/10011256871

The Economic Value of Flexibility when there is Disagreement

Boot, Arnoud W.A.; Thakor, Anjan V. - Tinbergen Instituut - 2003

We develop an economic theory of “flexibility”, which we interpret as the discretion orability to make a decision that others disagree with. We show that flexibility is essentiallyan option for the decisionmaker, and can be valued as such. The value of the flexibilityoption is decreasing in...

Persistent link: https://www.econbiz.de/10011249540

Investor Sentiment and Employment

Montone, Maurizio; Zwinkels, Remco C.J. - Tinbergen Instituut - 2015

We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...

Persistent link: https://www.econbiz.de/10011255878

Go Public or Stay Private: A Theory of Entrepreneurial Choice

Boot, Arnoud W.A.; Gopalan, Radhakrishnan; Thakor, Anjan V. - Tinbergen Instituut - 2003

In this paper we analyze an entrepreneur /manager's choice between private and public ownership in a setting in which management needs some "elbow room" or autonomy to optimally manage the firm. In public capital markets, the corporate governance regime in place exposes the firm to exogenous...

Persistent link: https://www.econbiz.de/10011256028

Disciplining and Screening Top Executives

Martinez, Silvia Dominguez; Swank, Otto H.; Visser, Bauke - Tinbergen Instituut - 2006

Boards of directors face the twin task of disciplining and screening executives. To perform these tasks directors do not have detailed information about executives' behaviour, and only infrequently have information about the success or failure of initiated strategies, reorganizations, mergers...

Persistent link: https://www.econbiz.de/10011256153

Disagreement and Flexibility: A Theory of Optimal Security Issuance and Capital Structure

Boot, Arnoud W.A.; Thakor, Anjan V. - Tinbergen Instituut - 2003

In this paper we introduce flexibility as an economic concept and apply it to the firm’ssecurity issuance decision and capital structure choice. Flexibility is the ability to makedecisions that one thinks are best even when others disagree. The firm’s management valuesflexibility because it...

Persistent link: https://www.econbiz.de/10011242147

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