Showing 1 - 10 of 9,329
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that … expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity …. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle …
Persistent link: https://www.econbiz.de/10012763119
Persistent link: https://www.econbiz.de/10012785748
This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …
Persistent link: https://www.econbiz.de/10013100361
himself trapped and forced to remain in that position because of a lack of liquidity. What are the asset-pricing implications …
Persistent link: https://www.econbiz.de/10012785751
We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders …' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to … are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and …
Persistent link: https://www.econbiz.de/10012777582
This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure...
Persistent link: https://www.econbiz.de/10013223885
In a two-period Lucas tree economy in which ex ante identical, but ex post dissimilar, agents face undiversifiable labor income risk, calibrating a (wrong) representative agent model results in overstating the equilibrium riskfree rate and in understanding the equilibrium equity premium if the...
Persistent link: https://www.econbiz.de/10013228249
This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates...
Persistent link: https://www.econbiz.de/10013138143
We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting...
Persistent link: https://www.econbiz.de/10013144163
We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of...
Persistent link: https://www.econbiz.de/10013121587