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activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …
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liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … year German government bonds, indicating a reduction in liquidity. Nevertheless, the market was able to handle a …
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liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is …
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This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain...
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Statistische Eigenschaften von Handelsvolumina auf Aktienmärkten -- Theoretische Analysen zur Rolle des Handelsvolumens auf Aktienmärkten -- Kontemporärer Zusammenhang zwischen Aktienrenditen und Handelsvolumina -- Ereignisinduzierte Marktreaktionen: Preis- und Volumenseffekte am Beispiel von...
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