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Modifications on book-valued ratios
Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37
Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...
Persistent link: https://www.econbiz.de/10014281276
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To disclose or not to disclose : transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …
Persistent link: https://www.econbiz.de/10010361830
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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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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …
Persistent link: https://www.econbiz.de/10012271211
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Stock Liquidity and Default Risk
Brogaard, Jonathan - 2019
This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …
Persistent link: https://www.econbiz.de/10012904049
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of relevance …
Persistent link: https://www.econbiz.de/10012062186
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …
Persistent link: https://www.econbiz.de/10011987269
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The liquidity premium in CDS transaction prices : do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - 2015 - [This version]: August 2015
finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …
Persistent link: https://www.econbiz.de/10011308604
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Liquidity, volume, and volatility
Bogousslavsky, Vincent; Collin-Dufresne, Pierre - 2019
We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … cross-section. Evidence from alternative liquidity measures (price impact and depth), spread decomposition, and intraday …
Persistent link: https://www.econbiz.de/10012177226