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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

Does algorithmic trading improve liquidity?

Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

Persistent link: https://www.econbiz.de/10010303736

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - 2010

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Persistent link: https://www.econbiz.de/10010303739

Can't pay or won't pay? : unemployment, negative equity, and strategic default

Gerardi, Kristopher; Herkenhoff, Kyle F.; Ohanian, Lee E.; … - 2015

Persistent link: https://www.econbiz.de/10011415983

Can't pay for won't pay? : unemployment, negative equity, and strategic default

Gerardi, Kristopher; Herkenhoff, Kyle F.; Ohanian, Lee E.; … - In: The review of financial studies 31 (2018) 3, pp. 1098-1131

Persistent link: https://www.econbiz.de/10011925301

Can't pay or won't pay? : unemployment, negative equity, and strategic default

Gerardi, Kristopher; Herkenhoff, Kyle F.; Ohanian, Lee E.; … - 2015 - This version: September 21, 2015

Prior research has found that job loss, as proxied for by regional unemployment rates, is a weak predictor of mortgage default. In contrast, using micro data from the PSID, this paper finds that job loss and adverse financial shocks are important determinants of mortgage default. Households with...

Persistent link: https://www.econbiz.de/10011401237

Making sense of the subprime crisis

Gerardi, Kristopher; Lehnert, Andreas; Sherland, Shane M.; … - 2008

This paper explores the question of whether market participants could have or should have anticipated the large increase in foreclosures that occurred in 2007 and 2008. Most of these foreclosures stem from loans originated in 2005 and 2006, leading many to suspect that lenders originated a large...

Persistent link: https://www.econbiz.de/10003810078

Making sense of the subprime crisis

Gerardi, Kristopher; Lehnert, Andreas; Sherland, Shane M.; … - 2009

Persistent link: https://www.econbiz.de/10003813035

Why don’t lenders renegotiate more home mortgages? : the effect of securitization

Adelino, Manuel; Gerardi, Kristopher; Willen, Paul - 2010

Persistent link: https://www.econbiz.de/10003875262

Why don't lenders renegotiate more home mortgages? : Redefaults, self-cures, and securitization

Adelino, Manuel; Gerardi, Kristopher; Willen, Paul - 2009

We document the fact that servicers have been reluctant to renegotiate mortgages since the foreclosure crisis started in 2007, having performed payment-reducing modifications on only about 3 percent of seriously delinquent loans. We show that this reluctance does not result from securitization:...

Persistent link: https://www.econbiz.de/10003860024