Showing 1 - 8 of 8
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
public reporting of transaction-level information, including price and volume of trades. However, to date there has been a … (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find …
Persistent link: https://www.econbiz.de/10010287058
frequency and may provide timely and pertinent price information for market participants, many other IRD instruments trade …
Persistent link: https://www.econbiz.de/10010287160