We provide the first direct analysis of how dealers' funding liquidity affects their liquidity provision in securities markets. Dealers' repo trading terms, including both haircuts and repo spreads, and their ability to finance their bond inventories through repos affect their bid-ask spreads...

We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging...

This paper examines the relation between the quality of forecasts and the types of analysts' stock recommendations. Using hand-collected data on stock recommendations issued for companies listed on the Warsaw Stock Exchange (WSE) in the period 2005–2012, we find that, despite analysts' clear...

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007‒2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...

This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in...

This paper presents new evidence on bilateral securities financing based on the Federal Reserve's Senior Credit Officer Opinion Survey, which was launched in the wake of the financial crisis to provide a window into this otherwise opaque market. The survey asks large broker-dealers about terms...

The aim of the research paper is to present empirical results on a tested framework of factors influencing selected frontier stock markets of the Western Balkan countries in their accession path to the European Union. These stock markets are juxtaposed with the frontier stock mar ket of Bulgaria...

While mature capital markets in Western economies suffer from a significant drop in listed companies for two decades, the number of listings at stock exchanges on the African continent is increasing and the importance of stock exchanges for equity issues is growing. This not only raises...

There has been a marked increase in the magnitude of Foreign Institutional Investments (FIIs) into India since the 1990s, resulting in increased forex reserves and liquidity and a higher-valued Indian capital market. However, such investment is more volatile than other types of flows, causing...

We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...