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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …
Persistent link: https://www.econbiz.de/10011855295
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Listening to the noise : on price efficiency with dynamic trading
Arnold, Lutz; Russ, David - 2024
This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of...
Persistent link: https://www.econbiz.de/10014559283
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What moves markets?
Kerssenfischer, Mark; Schmeling, Maik - 2022
macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in …
Persistent link: https://www.econbiz.de/10013202601
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Financial conditions, macroeconomic factors and (un)expected bond excess returns
Fricke, Christoph; Menkhoff, Lukas - 2014
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …
Persistent link: https://www.econbiz.de/10010436625
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …
Persistent link: https://www.econbiz.de/10012313784
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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...
Persistent link: https://www.econbiz.de/10011483067
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112
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The price impact of CDS trading
Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013
In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...
Persistent link: https://www.econbiz.de/10009751104
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Trading under market impact : crossing networks interacting with dealer markets
Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago - 2017
We use a model with agency frictions to analyze the structure of a dealer market that faces competition from a crossing network. Traders are privately informed about their types (e.g. their portfolios), which is something the dealer must take into account when engaging his counterparties....
Persistent link: https://www.econbiz.de/10011705180
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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess …
Persistent link: https://www.econbiz.de/10014330976