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Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004
market liquidity are different in each market design. We test these predictions using a natural experiment. As of April 23 …
Persistent link: https://www.econbiz.de/10010333878
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005
this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …
Persistent link: https://www.econbiz.de/10010308662
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014
provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010368433
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The liquidity premium in CDS transaction prices: Do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalin; Nasev, Julia - 2015
finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …
Persistent link: https://www.econbiz.de/10011310179
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Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises
Gründl, Helmut; Post, Thomas - 2009
Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of … 20072009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market … considerably enhance transparency in securitization transactions at the expense of some transaction costs, while reducing the need …
Persistent link: https://www.econbiz.de/10010265673
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The complexity yield puzzle: A textual analysis of municipal bond disclosures
Farrell, Michael; Murphy, Dermot; Painter, Marcus; … - 2023
We study the effect of official statement textual complexity on municipal borrowing costs (yield) through the clientele channel. Theoretically, complexity reduces signal quality for unsophisticated investors, potentially increasing yield. We provide causal evidence of an economically significant...
Persistent link: https://www.econbiz.de/10014426904
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SPACs: Post-merger survival
Vulanovic, Milos - 2016
This paper studies how institutional characteristics of Specified Purpose Acquisition Companies (SPACs) are related to their post-merger survival. SPACs are unique financial firms that conduct the IPO with the solely purpose to use the proceeds to acquire another private company. Paper finds...
Persistent link: https://www.econbiz.de/10011567076
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010327254
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SPACs with focus on China
Shachmurove, Yochanan; Vulanovic, Milos - 2014
In this study, we examine characteristics of Specified Purpose Acquisition Companies (SPACs) used as a financing tool for companies from China in period 2004-2011. We offer the evidence that, similarly to evidence from studies on reverse mergers focusing on China, SPACs that focus on China are...
Persistent link: https://www.econbiz.de/10010332133
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Net asset value discounts in listed private equity funds
Lahr, Henry; Kaserer, Christoph - 2009
predict future stock returns and are explained by liquidity and by investor sentiment, but not by the fund's investment degree …
Persistent link: https://www.econbiz.de/10010305728