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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - In: Journal of Financial Economics 114 (2014) 3, pp. 405-423
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …
Persistent link: https://www.econbiz.de/10011076295
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Endogenous liquidity in credit derivatives
Qiu, Jiaping; Yu, Fan - In: Journal of Financial Economics 103 (2012) 3, pp. 611-631
We study the determination of liquidity provision in the single-name credit default swap (CDS) market as measured by … the number of distinct dealers providing quotes. We find that liquidity is concentrated among large obligors and those … near the investment-grade/speculative-grade cutoff. Consistent with endogenous liquidity provision by informed financial …
Persistent link: https://www.econbiz.de/10010571645
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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115
improvement in liquidity and trading activity. …
Persistent link: https://www.econbiz.de/10010752915
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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25
factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …
Persistent link: https://www.econbiz.de/10010718732
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Understanding commonality in liquidity around the world
Karolyi, G. Andrew; Lee, Kuan-Hui; Dijk, Mathijs A. van - In: Journal of Financial Economics 105 (2012) 1, pp. 82-112
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …
Persistent link: https://www.econbiz.de/10010571656
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Chasing noise
Mendel, Brock; Shleifer, Andrei - In: Journal of Financial Economics 104 (2012) 2, pp. 303-320
We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. In the model, noise traders can have an impact on market equilibrium disproportionate to...
Persistent link: https://www.econbiz.de/10010571692
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Arbitrage crashes and the speed of capital
Mitchell, Mark; Pulvino, Todd - In: Journal of Financial Economics 104 (2012) 3, pp. 469-490
between left-hand side arbitrage opportunities and right-hand side liabilities. Consequently, arbitrageurs became unable to …
Persistent link: https://www.econbiz.de/10011039252
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Time series momentum
Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of Financial Economics 104 (2012) 2, pp. 228-250
speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers. …
Persistent link: https://www.econbiz.de/10011039243
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Does option trading convey stock price information?
Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance...
Persistent link: https://www.econbiz.de/10010743556
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Is there price discovery in equity options?
Muravyev, Dmitriy; Pearson, Neil D.; Paul Broussard, John - In: Journal of Financial Economics 107 (2013) 2, pp. 259-283
We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option...
Persistent link: https://www.econbiz.de/10010616817