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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012201069
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012168738
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Shades of darkness : a pecking order of trading venues
Menkveld, Albert J.; Yueshen, Bart Zhou; Zhu, Haoxiang - In: Journal of financial economics 124 (2017) 3, pp. 503-534
Persistent link: https://www.econbiz.de/10011751481
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3581-3596
Persistent link: https://www.econbiz.de/10014551909
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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10010324874
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Round-the-clock price discovery for cross-listed stocks : US-Dutch evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10011333901
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A search-theoretic model of the term premium
Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, … - 2013 - This Version: June 2013
rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …
Persistent link: https://www.econbiz.de/10009753184
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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Monetary policy, asset prices, and liquidity in over-the-counter markets
Geromichalos, Athanasios; Herrenbrueck, Lucas - In: Journal of money, credit and banking : JMCB 48 (2016) 1, pp. 35-79
Persistent link: https://www.econbiz.de/10011516501
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011478980