Showing 1 - 10 of 34
Persistent link: https://www.econbiz.de/10010408477
Persistent link: https://www.econbiz.de/10003375920
Persistent link: https://www.econbiz.de/10003610006
Persistent link: https://www.econbiz.de/10003388972
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions...
Persistent link: https://www.econbiz.de/10011341255
This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...
Persistent link: https://www.econbiz.de/10010245302
We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...
Persistent link: https://www.econbiz.de/10009784711
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...
Persistent link: https://www.econbiz.de/10011441970
Persistent link: https://www.econbiz.de/10011455529