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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

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

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

Monetary policy and asset prices

Geromichalos, Athanasios; Licari, Juan Manuel; … - In: Review of economic dynamics 10 (2007) 4, pp. 761-779

Persistent link: https://www.econbiz.de/10003566020

A tractable model of indirect asset liquidity

Herrenbrueck, Lucas; Geromichalos, Athanasios - 2015

Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these …

Persistent link: https://www.econbiz.de/10011429961

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - In: Journal of financial economics 114 (2014) 3, pp. 405-423

Persistent link: https://www.econbiz.de/10010532702

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

How do designated market makers create value for small-caps?

Menkveld, Albert J.; Wang, Ting - In: Journal of financial markets 16 (2013) 3, pp. 571-603

Persistent link: https://www.econbiz.de/10010348517

Monetary policy, asset prices, and liquidity in over-the-counter markets

Geromichalos, Athanasios; Herrenbrueck, Lucas - 2012 - This Version: September 2012

portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can … rebalance their positions depending on their liquidity needs. Hence, a contribution of our paper is to provide a micro … value because they help agents avoid the inflation tax. -- monetary-search models ; liquidity ; asset prices ; over …

Persistent link: https://www.econbiz.de/10009681232

A tractable model of indirect asset liquidity

Herrenbrueck, Lucas; Geromichalos, Athanasios - In: Journal of economic theory 168 (2017), pp. 252-260

Persistent link: https://www.econbiz.de/10011747486