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Trust companies generate leverage cycle dynamics by intermediating less regulated credit to the financial markets in China. We find that the leverage factor constructed from trust companies can explain the time-series and cross-sectional asset returns. The leverage factor derived from securities...
Persistent link: https://www.econbiz.de/10012850120
brink of collapse and the deepest contraction in world output in more than half a century followed. Moreover, unprecedented …
Persistent link: https://www.econbiz.de/10012929483
We find that stock price crash risk is positively associated with lagged equity lending fee and fee risk. This positive relation is stronger for the stocks with a lower short interest level and higher information uncertainty. Our results are robust to using alternative measures of price crash...
Persistent link: https://www.econbiz.de/10012996039
The paper analyzes stock-price reactions to stock recommendations published in printed Swedish media and also trading volumes at and around the publication day, bid/ask spreads, and the post publication drift in recommended stocks for the period 1995-2000. Its small size and limited number of...
Persistent link: https://www.econbiz.de/10013004434
This paper investigates empirically the relationship between stock market and banking sector development with data from 40 countries (representing 85% of global GDP) over a period of 53 years. When measured by ratios of stock market (i) capitalization to GDP; (ii) turnover to GDP; and (iii)...
Persistent link: https://www.econbiz.de/10012965090
We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...
Persistent link: https://www.econbiz.de/10013033634
We study how high-frequency traders (HFTs) strategically decide their speed level in a market with a random speed bump. If HFTs recognize the market impact of their speed decision, they perceive a wider bid-ask spread as an endogenous upward-sloping cost of being faster. We find that the speed...
Persistent link: https://www.econbiz.de/10012908512
We study how high-frequency traders (HFTs) strategically decide their speed level in a market with a random speed bump. If HFTs recognize the market impact of their speed decision, they perceive a wider bid-ask spread as an endogenous upward-sloping cost of being faster. We find that the speed...
Persistent link: https://www.econbiz.de/10012892475
I reexamine whether media articles with substantive editorial content inform the market's reaction to firms' earnings news. Using variation in earnings announcement coverage because of restructuring at The Wall Street Journal (WSJ), my analyses suggest that WSJ earnings articles improve price...
Persistent link: https://www.econbiz.de/10013222108
Market microstructure deals with the purest form of financial intermediation – the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are simply transferred from one investor to another. The field of market microstructure studies the...
Persistent link: https://www.econbiz.de/10014023867