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Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …

Persistent link: https://www.econbiz.de/10001752003

Evaluating the riskiness of initial public offerings: 1980 - 2000

Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752009

Two-sided markets and intertemporal trade clustering : insights into trading motives

Sarkar, Asani (contributor); Schwartz, Robert A. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003314980

Identifying noise traders : the head-and-shoulders pattern in US equities

Osler, Carol - 1998

Persistent link: https://www.econbiz.de/10000997925

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Tick size change and market quality in the U.S. treasury market

Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019

This paper studies a recent tick size reduction in the U.S. Treasury securities market and identifies its effects on the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid-ask spread narrows significantly after the change, even for large...

Persistent link: https://www.econbiz.de/10012000042

Asset price effects of peer benchmarking : evidence from a natural experiment

Acharya, Sushant; Pedraza, Alvaro - 2015

component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

Persistent link: https://www.econbiz.de/10010514042

CDS and equity market reactions to stock issuances in the U.S. financial industry : evidence from the 2002-13 period

Cornett, Marcia Millon; Mehran, Hamid; Pan, Kevin; … - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010423809

Stock market participation, inequality, and monetary policy

Melcangi, Davide; Sterk, Vincent - 2020

What role does stock investment play in the transmission of monetary policy to the real economy? We study this question using a New Keynesian model with heterogeneous households. Following a monetary tightening, stock market participants rebalance their investments away from stocks, in line with...

Persistent link: https://www.econbiz.de/10012240629