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Liquidity Dynamics and Cross-Autocorrelations
Chordia, Tarun - 2011
-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is … transmitted to small stocks with a lag. Such trading impacts large stock liquidity, so that, in equilibrium, large stock … information-based trading is more likely) …
Persistent link: https://www.econbiz.de/10012714364
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Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
van der Wel, Michel - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10013159473
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Inference, Arbitrage, and Asset Price Volatility
Adrian, Tobias - 2010
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10012717809
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Two-Sided Markets and Intertemporal Trade Clustering : Insights into Trading Motives
Schwartz, Robert A. - 2006
We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE … other microstructure effects, we find that two-sided clustering is associated with higher volatility but lower trading costs …. Our analysis has implications for trading motives, market structure, and the process by which new information is …
Persistent link: https://www.econbiz.de/10012733640
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Market Sidedness : Insights into Motives for Trade Initiation
Schwartz, Robert A. - 2007
We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the … (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is … more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and …
Persistent link: https://www.econbiz.de/10012730427
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Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity
Coffey, Niall - 2010
We provide robust evidence of deviations from the Covered Interest Parity (CIP) relation since the onset of the crisis in August 2007. The CIP deviations exist with respect to different dollar interest rates and exchange rate pairs of the dollar vis-à-vis other currencies. The results show that...
Persistent link: https://www.econbiz.de/10013150937
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Pricing the Term Structure with Linear Regressions
Adrian, Tobias - 2013
We show how to price the time series and cross-section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring...
Persistent link: https://www.econbiz.de/10012710719
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CoVaR
Adrian, Tobias - 2013
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being in distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being in distress and CoVaR in the...
Persistent link: https://www.econbiz.de/10012710983
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Stock Returns and Volatility : Pricing the Short-Run and Long-Run Components of Market Risk
Adrian, Tobias - 2013
We decompose the time series of equity market risk into short- and long-run volatility components. Both components have negative and highly significant prices of risk in the cross section of equity returns. A three-factor model with the market return and the two volatility components compares...
Persistent link: https://www.econbiz.de/10012711670
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Forecasting through the Rear-View Mirror : Data Revisions and Bond Return Predictability
Ghysels, Eric - 2014
Macroeconomic data are typically subject to future revisions and released with delay. Predictive return regressions using such data therefore potentially overstate the information set available to investors in real time. We document that data revisions account for a sizable share of in-sample...
Persistent link: https://www.econbiz.de/10013065072