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Liquidity Style of Mutual Funds
Idzorek, Thomas M. - 2012
Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid … significantly outperformed mutual funds that held more liquid stocks. This demonstrates that the liquidity premium is sufficiently … strong to show up in portfolios where the managers are most likely not directly focusing on liquidity. Surprisingly, the …
Persistent link: https://www.econbiz.de/10013115030
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How dynamic hedging affects stock price movements : evidence from German option and certificate markets
Fischer, Georg - 2019
autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate …
Persistent link: https://www.econbiz.de/10011960804
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Decomposing short-term return reversal
Da, Zhi; Liu, Qianqiu; Schaumburg, Ernst - 2011
than previously documented, and driven by investor sentiment on the short side and liquidity shocks on the long side …. -- return reversal ; liquidity …
Persistent link: https://www.econbiz.de/10009300008
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Noise, Beliefs, and Momentum
Jordan, Steven J. - 2013
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
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Decomposing Short-Term Return Reversal
Da, Zhi - 2011
than previously documented, and driven by investor sentiment on the short side and liquidity shocks on the long side …
Persistent link: https://www.econbiz.de/10013120611
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Stuck on the Road : Traffic Congestion and Stock Returns
Imisiker, Serkan - 2019
Experimental research in psychology has found a strong negative association between traffic congestion and stress levels of commuters. Here, we investigate the consequences of morning traffic congestion on stock returns. Using traffic data and stock market returns from New York City and London,...
Persistent link: https://www.econbiz.de/10012902151
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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …
Persistent link: https://www.econbiz.de/10012303197
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Congestion in commodity trading advisors
Gregoriou, Greg N.; Pascalau, Razvan; Chen, Yao - In: INFOR : information systems and operational research 49 (2011) 1, pp. 63-74
Persistent link: https://www.econbiz.de/10009385020
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Risk and Abnormal Returns in Markets for Congestion Revenue Rights
Baltaduonis, Rimvydas - 2017
In organized energy markets that use locational pricing, power generators and energy suppliers procure Financial Transmission Rights (FTRs) to hedge against grid congestion charges, while third party speculators attempt to capture a return with these extremely volatile contracts. The paper...
Persistent link: https://www.econbiz.de/10012959316