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The fragility of discretionary liquidity provision : lessons from the collapse of the auction rate securities market
Han, Song; Li, Dan - 2010
Persistent link: https://www.econbiz.de/10008670003
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...
Persistent link: https://www.econbiz.de/10011500337
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Trading activity and price volatility in the municipal bond market
Downing, Chris; Zhang, Frank X. - 2002
Persistent link: https://www.econbiz.de/10001706714
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Belief dispersion among household investors and stock trading volume
Li, Dan; Li, Geng - 2011
Persistent link: https://www.econbiz.de/10009406489
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News versus sentiment : predicting stock returns from news stories
Heston, Steven L.; Sinha, Nitish R. - 2016
This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news,...
Persistent link: https://www.econbiz.de/10011500414
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Liquidity, default, taxes and yields on municipal bonds
Wang, Junbo; Wu, Chunchi; Zhang, Frank X. - 2005
Persistent link: https://www.econbiz.de/10003081454
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Credit risk, liquidity and lies
King, Thomas B.; Lewis, Kurt F. - 2015
Persistent link: https://www.econbiz.de/10011410543
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The dynamics of adjustable-rate subprime mortgage default : a structural estimation
Fang, Hanming; Kim, You Suk; Li, Wenli - 2015
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information...
Persistent link: https://www.econbiz.de/10011499436
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Funding liquidity risk and the cross-section of MBS returns
Kitsul, Yuriy; Ochoa, Marcelo - 2016
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …
Persistent link: https://www.econbiz.de/10011500433