Narrow search
Showing 1 - 10 of 274
Cover Image
Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …
Persistent link: https://www.econbiz.de/10011897589
Cover Image
Trading with the informed and against the uninformed : flows and positioning in the global currency market
Barrios, Aldo; Franolic, Rob; Giovanardi, Davide; … - 2022
speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds … yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and …
Persistent link: https://www.econbiz.de/10013362763
Cover Image
Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2014
This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general...
Persistent link: https://www.econbiz.de/10010235825
Cover Image
Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099
Cover Image
The offshore renminbi exchange rate : microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010367171
Cover Image
The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10012625628
Cover Image
Terrorist attacks and financial markets
Bonekamp, Bas; Veen, Tom van - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10011602465
Cover Image
Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10003824684
Cover Image
Central bank swap lines
Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...
Persistent link: https://www.econbiz.de/10011867130
Cover Image
Rumors and runs in opaque markets : evidence from the panic of 1907
Fohlin, Caroline; Gehrig, Thomas P.; Haas, Marlene - 2016
impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …
Persistent link: https://www.econbiz.de/10011522131