Similar Search Results

Afonso, Gara M. - 2008

This paper studies the relationship between the arrival of potential investors and market liquidity in a search … discouraging new investors from entering (what we call the congestion effect). The equilibrium level of market liquidity depends on … find that diminishing trading costs in our market can impair liquidity and reduce welfare. …

Persistent link: https://www.econbiz.de/10010283499

A stock-flow approach to a general theory of pricing

Pilkington, Philip - 2013

The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value placed on goods by consumers. It does not take into...

Persistent link: https://www.econbiz.de/10010513048

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290

The role of disclosure in green finance

Steuer, Sebastian; Tröger, Tobias - 2021

We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline to achieve socially optimal climate targets. We categorize the transparency...

Persistent link: https://www.econbiz.de/10012608395

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - 2020

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

Persistent link: https://www.econbiz.de/10012619565

The Role of Disclosure in Green Finance

Tröger, Tobias; Steuer, Sebastian - 2021

Persistent link: https://www.econbiz.de/10012655978

Liquidity and Ambiguity: Banks or Asset Markets?

Eichberger, Jürgen; Spanjers, Willy - 2007

consumers face uncertain liquidity needs. The ambiguity the consumers experience is modeled by the degree of confidence in their … additive beliefs. We analyze the optimal liquidity allocation and two institutional settings for implementing this allocation … with high liquidity needs. With increasing ambiguity this preference will be reversed: the asset market is preferred, since …

Persistent link: https://www.econbiz.de/10011422151

Long-term information, short-lived derivative securities

Bernhardt, Dan; Davies, Ryan; Spicer, John - 2000

which liquidity traders choose to incur extra costs to roll over their short-term positions rather than trade in longer … liquidity and large bid-ask spreads. …

Persistent link: https://www.econbiz.de/10011940621

Microstructure of Foreign Exchange Markets

Evans, Martin D.D.; Rime, Dagfinn - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...

Persistent link: https://www.econbiz.de/10012143943

Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - 2005

these securities on firms’ cost of capital, issuing costs, liquidity and shareholder wealth. Using a sample of 230 Global …

Persistent link: https://www.econbiz.de/10011604472

1
2
3
4
5
6
7
8
9
10
Next
Last