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Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10010281537

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10010266065

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out-of-sample Value …

Persistent link: https://www.econbiz.de/10010298390

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

Renewable Asset Price Volatility and Its Implications for Decarbonization

Hong, Harrison G.; Kubik, Jeffrey D.; Shore, Edward P. - National Bureau of Economic Research - 2025

We find that the price volatility of renewable assets is significantly greater than that of brown assets. Our causal estimates leverage the response of electricity and credit markets to US state-level renewable portfolio standards that require some utilities to use renewables while exempting...

Persistent link: https://www.econbiz.de/10015409819

Are Bitcoin and Ethereum Safe-havens for U.S. Stocks During the COVID-19 Pandemic?

Dwita Mariana, Christy - 2023

Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively...

Persistent link: https://www.econbiz.de/10014353886

US Fiscal Cycle and the Dollar

Jiang, Zhengyang - 2020

A stronger US fiscal condition predicts a higher excess return on the dollar against foreign currencies in the following year, and more so against foreign currencies with higher dollar betas. Through the lens of a no-arbitrage model, I use these findings to refine our understanding of the...

Persistent link: https://www.econbiz.de/10012850984

German and US Investment Professionals’ Use of Corporate Social Responsibility Disclosures in Their Personal Investment Decisions and Recommendations to Clients

Arnold, Markus C. - 2020

professionals' assessments of financial performance. Second, even after controlling for the effect of CSR information on their … assessments of financial performance, both German and US investment professionals are willing to invest more when they assess CSR … performance as higher. Importantly, this second effect is driven by their personal beliefs about the benefits to society of CSR …

Persistent link: https://www.econbiz.de/10012853903

Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales

Honkanen, Pekka - 2019

We study the extent of cross-asset learning in financial markets by examining spillover effects around mutual fund fire sales. We find that the well-documented impact-reversal pattern for the returns of fire sale stocks (e.g., Coval and Stafford, 2007) spills over onto the stock returns of...

Persistent link: https://www.econbiz.de/10012899156

Portfolio Returns and Consumption Growth Covariation in the Frequency Domain, Real Economic Activity, and Expected Returns

Piccotti, Louis R. - 2019

The slope of the portfolio return and consumption growth cospectrum contains predictive information about future real economic activity, future recession probabilities, the risk aversion coefficient, as well as future expected returns. Commonly used economic variables do not subsume the...

Persistent link: https://www.econbiz.de/10012900058