We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and...

The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...

The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...

This study investigates whether fluctuations in credit supply in a macroeconomy and a relational bank's financial condition affect the capital structure adjustment of firms. Using data for Japanese listed firms from 1988 to 2014, we find that firms adjust their capital structure slower during...

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book market. Given the discontenting empirical model performance reported in the previous literature, we relax restrictive assumptions of the underlying theoretical model concerning...

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks' capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...

In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and...