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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10009636533
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
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Advice to ESMA : Response to ESMA’s Consultation Paper on Draft Regulatory Technical Standards on major shareholdings and indicative list of financial instruments subject to notifi...
European Securities and Markets Authority; Securities … - 2014
Persistent link: https://www.econbiz.de/10010368100
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Taking stock
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10009639408
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about …
Persistent link: https://www.econbiz.de/10009639420
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Liquidity, information, and the overnight rate
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004
We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An … information about the liquidity situation in the market. It is shown that with positive probability, the liquidity effect … rate. The phenomenon does not disappear when the number of banks increases. We also show that private information mitigates …
Persistent link: https://www.econbiz.de/10009639432
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An empirical study of liquidity and information effects of order flow on exchange rate
Breedon, Francis; Vitale, Paolo - 2004
proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow …
Persistent link: https://www.econbiz.de/10009639485
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Price and trading response to public information
Malinowska, Magdalena - 2010
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade … very precise information from the largest European bond futures market. The results show that the price response to public …
Persistent link: https://www.econbiz.de/10009640364
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The stock market reaction to the 2005 non-tradable share reform in China
Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011
During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis,...
Persistent link: https://www.econbiz.de/10009640778
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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...
Persistent link: https://www.econbiz.de/10009635905