Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...

This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

This paper introduces bond market order flow as a predictor variable in term structuremodels and provides evidence that order flow has forecasting ability over and above thatof forward rates. Both in-sample and out-of-sample forecasts show that models includ-ing interdealer order flow outperform...

This paper introduces a framework that directly quanti…es information spillovers be-tween …nancial markets. Information spillovers occur when market speci…c information,de…ned as information that directly affects the return or volatility in one market only,indirectly affects returns or...

We use data on actual holding periods for all investors in a stock market over a10-year period to investigate the links between holding periods, liquidity, and assetreturns. Microstructure measures of liquidity are shown to be important determinantsof the holding period decision of individual...

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...