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Liquidity effects in banks’ capital allocation decisions
Alcântara, Wenersamy Ramos de - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 163-170
Persistent link: https://www.econbiz.de/10011306353
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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Liquidity and investment horizon
Vovchak, Volodymyr - 2014
The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …
Persistent link: https://www.econbiz.de/10010258742
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Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk
Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400
Persistent link: https://www.econbiz.de/10010476907
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Portfolio Optimization in Electricity Trading with Limited Liquidity
Weber, Christoph; Woll, Oliver - 2007
to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model … has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for …-covariancematrix used and the liquidity function assumed. …
Persistent link: https://www.econbiz.de/10010424612
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Portfolio choice with illiquid assets
Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761
Persistent link: https://www.econbiz.de/10010461809
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R - 2021
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012705247
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The correlation puzzle : the interaction of bond and risk correlation
Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2013 - This version: August 7, 2013
Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be higher during the financial crisis in 2008. Increased bond...
Persistent link: https://www.econbiz.de/10009777926
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Management of liquidity and liquid assets in small and medium-sized enterprises
Kontuš, Eleonora; Mihanović, Damir - In: Economic research 32 (2019) 1,4, pp. 3253-3271
Persistent link: https://www.econbiz.de/10012395351
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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