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Anticipated and repeated shocks in liquid markets
Lou, Dong; Yan, Hongjun; Zhang, Jinfan - 2011
Persistent link: https://www.econbiz.de/10009259876
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What makes when-issued trading attractive to financial markets?
Brooks, Raymond M.; Kim, Yong H.; Yang, J. Jimmy - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 245-271
Persistent link: https://www.econbiz.de/10010516100
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Anticipated and repeated shocks in liquid markets
Lou, Dong; Yan, Hongjun; Zhang, Jinfan - In: The review of financial studies 26 (2013) 8, pp. 1890-1912
Persistent link: https://www.econbiz.de/10010207301
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Pricing of Government Bonds Around the World and Time-Varying Liquidity Risk
Panyanukul, Sakkapop - 2010
This paper finds that both liquidity level and liquidity risk are important in explaining the cross-section of domestic … factors and bond characteristics, liquidity and liquidity risk together can explain as much as 0.41% per annum of extra yield … for the highest versus the lowest liquidity risk countries (China and Argentina respectively). There is also evidence of a …
Persistent link: https://www.econbiz.de/10013149346
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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The Microstructure of European Bond Markets : Organization, Price Formation, and Cost of Liquidity
Flögel, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10013520964
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Anticipated and Repeated Shocks in Liquid Markets
Lou, Dong - 2013
This paper examines how anticipated and frequently repeated shocks are absorbed in liquid financial markets. We show that Treasury security prices in the secondary market decrease significantly in the few days leading up to Treasury auctions and recover shortly thereafter, even though the time...
Persistent link: https://www.econbiz.de/10013094412
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The microstructure of European bond markets : organization, price formation, and cost of liquidity
Flögel, Volker - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003307883
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Price discovery and trade fragmentation in a multi-market environment : evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - In: Journal of banking & finance 37 (2013) 2, pp. 227-240
Persistent link: https://www.econbiz.de/10009705705
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The microstructure of the bond market in the 20th century
Biais, Bruno; Green, Richard C. - In: Review of economic dynamics 33 (2019), pp. 250-271
Persistent link: https://www.econbiz.de/10012312210