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The BoC-BoE sovereign default database : what's new in 2019?
Beers, David; Leon-Manlagnit, Patrisha de - 2019
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its...
Persistent link: https://www.econbiz.de/10012104263
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Speed segmentation on exchanges : competition for slow flow
Anderson, Lisa; Andrews, Emad; Devani, Baiju; Mueller, … - 2018
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away...
Persistent link: https://www.econbiz.de/10011777738
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012798791
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Outside investor access to top management : market monitoring versus stock price manipulation
Schroth, Josef - 2020 - Last updated: October 28, 2020
This paper studies the role of voluntary disclosure in crowding out independent research about firm value. In the model, when inside firm owners make it easier for outside investors to obtain inexpensive biased information from the manager, investors rely less on costly unbiased research. As a...
Persistent link: https://www.econbiz.de/10012306701
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A stochastic volatility model with conditional skewness
Feunou, Bruno; Tédongap, Roméo - 2011
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10009309462
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High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014
to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …
Persistent link: https://www.econbiz.de/10010441177
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Centralizing over-the-counter markets?
Allen, Jason; Wittwer, Milena - 2021 - Last updated: August 10, 2021
We identify a sizable wealth redistribution channel which creates a monetary policy trade-off whereby short-term economic stimulus is followed by persistently lower output over the medium term. This trade-off is stronger in economies with more nominal household debt but weakened by a more...
Persistent link: https://www.econbiz.de/10012603256
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Adverse selection with heterogeneously informed agents
Davoodalhosseini, Seyed Mohammadreza - 2018
equilibrium being played. A switch from one equilibrium to another can lead to large drops in liquidity, price, trading volume and …
Persistent link: https://www.econbiz.de/10011797510
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The effect of oil price: shocks on asset markets : evidence from oil inventory news
Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...
Persistent link: https://www.econbiz.de/10012181225
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Order flow segmentation, liquidity and price discovery : the role of latency delays
Brolley, Michael; Cimon, David A. - 2018
to liquidity traders, total welfare falls; with relatively more speculators, total welfare rises. …
Persistent link: https://www.econbiz.de/10011814231