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sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information …
Persistent link: https://www.econbiz.de/10010283298
. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …
Persistent link: https://www.econbiz.de/10010283309
stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about …
Persistent link: https://www.econbiz.de/10010283358
. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …
Persistent link: https://www.econbiz.de/10010283415
has implications for trading motives, market structure, and the process by which new information is incorporated into …
Persistent link: https://www.econbiz.de/10010283439
, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …
Persistent link: https://www.econbiz.de/10010283461
We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...
Persistent link: https://www.econbiz.de/10012144707