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Turnover : liquidity or uncertainty?
Barinov, Alexander - In: Management science : journal of the Institute for … 60 (2014) 10, pp. 2478-2495
Persistent link: https://www.econbiz.de/10010461871
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Do high-frequency traders anticipate buying and selling pressure?
Hirschey, Nicholas - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3321-3345
Persistent link: https://www.econbiz.de/10012606893
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Do illiquid stocks jump more frequently?
Kunsteller, Sebastian; Müller, Janis; Posch, Peter N. - In: Applied economics 51 (2019) 25, pp. 2764-2769
Persistent link: https://www.econbiz.de/10012196740
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Effects of market liquidity on price dynamics in a heterogeneous belief model
Zhou, Yongguang; Wang, Yiming; Gao, Zhennan - In: Applied economics 55 (2023) 17, pp. 1972-1989
Persistent link: https://www.econbiz.de/10013555091
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2010
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10013152555
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Liquidity Shocks and Order Book Dynamics
Biais, Bruno - 2010
monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …
Persistent link: https://www.econbiz.de/10013152621
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Predatory Trading
Pedersen, Lasse Heje - 2004
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10012785459
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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P. - 2015
national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …
Persistent link: https://www.econbiz.de/10013020713
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus H. - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'. Besides...
Persistent link: https://www.econbiz.de/10013145248