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Arping, Stefan - 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 …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

Persistent link: https://www.econbiz.de/10010477097

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Short-selling bans around the world : evidence from the 2007 - 09 crisis

Beber, Alessandro; Pagano, Marco - 2010

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

Persistent link: https://www.econbiz.de/10011382070

Need for speed? : exchange latency and liquidity

Menkveld, Albert J.; Zoican, Marius A. - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are … more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is …

Persistent link: https://www.econbiz.de/10010384388

Exclusive portfolio dealing and market inefficiency

Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024

We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...

Persistent link: https://www.econbiz.de/10014496480

Daily market news sentiment and stock prices

Allen, David E.; McAleer, Michael; Singh, Abhay K - 2015

In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...

Persistent link: https://www.econbiz.de/10011301201

Coordination of expectations in asset pricing experiments

Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003

We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....

Persistent link: https://www.econbiz.de/10011333274

Splitting orders in fragmented markets

Menkveld, Albert J. - 2001

liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this …

Persistent link: https://www.econbiz.de/10011317469

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Capital structure arbitrage revisited

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....

Persistent link: https://www.econbiz.de/10010415520

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