This research examines the relationship between firm-specific liquidity and both information asymmetry and divergence of opinion, within the context of different trading system (i.e. floor versus electronic), for UK, Swiss and German stock markets. By using both univariate and multivariate...

While the importance of equity markets as a vehicle for capital formation is well recognized, their role in providing economically valuable governance services, particularly to small and medium enterprises (SME), has not received much attention. The paper examines the role of public policy in...

This paper finds that in the Canadian sovereign bond market, a larger increase in government maturity-weighted debt supply is associated with lower bond market liquidity over the subsequent month. The result is both statistically and economically significant, stronger for the long-term than the...

This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...

This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...

We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...

This paper examines factors that affect the performance of investment banks in the G7 and Switzerland. In particular, we focus on the role of risk, liquidity and investment banking fees. Panel analysis shows that those variables significantly impact upon performance as derived from stochastic...

Crude oil futures play an important role in the global financial and energy markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is crucial for both hedgers and speculators, particularly...

I develop a model of investor learning driven by mistaken inference from market prices. Investors have heterogeneous beliefs about the worst case return of a risky asset and take leverage to buy it. When the worst case becomes more likely, forced liquidations result in price crashes, which...

Due to a regulatory exemption, ETF market makers can satisfy excess demand in secondary markets by selling ETF shares that have not yet been created. While this ability to “operationally short” is not unique to ETFs, it plays a more prominent role in ETF liquidity provision, and results in...