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We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity …
Persistent link: https://www.econbiz.de/10009475400
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …
Persistent link: https://www.econbiz.de/10009471789
The aim of this work is to establish a mathematically precise framework for studying games of capital accumulation under uncertainty. Such games arise as a natural extension from different perspectives that all lead to singular control exercised by the agents, which induces some essential...
Persistent link: https://www.econbiz.de/10009452649
Neoclassical analysis of the labor market and its institutions. A systematic development of the theory of labor supply …
Persistent link: https://www.econbiz.de/10009432547
liquidity and the efficiency of the market could be improved by agricultural enterprises which are aware of and capable of using …
Persistent link: https://www.econbiz.de/10009446975
This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms … of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors …
Persistent link: https://www.econbiz.de/10009447463
We study equilibrium trading strategies, market liquidity, and price efficiency in an economy in which a fraction of … better-informed speculators displays preferences consistent with Kahneman and Tversky’s (1979) Prospect Theory, i.e., loss … lower and (because of procyclical subjective loss probabilities)countercyclical adverse selection-based market liquidity and …
Persistent link: https://www.econbiz.de/10009476764
bigger resistance of liquidity to the global financial crisis and which factors weighted it. In the theoretic part is … analyzing interface between liquidity and factors of the markets, firms and macroeconomic. In the second part of paper is … represented research methodology. First of all, is calculating resistance of liquidity through 2005 – 2010 years and compare …
Persistent link: https://www.econbiz.de/10009478380
synthetic liquidity indicator that summarises the data on a broad set of market liquidity measures both for sovereign and … corporate fixed income markets in the US. Our index is based on 17 variables that cover the main dimensions of market liquidity …. The methodology used to calculate the index consists of two steps. First, a transformation of the individual liquidity …
Persistent link: https://www.econbiz.de/10012530508