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Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
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We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 … model the 'representative' intermediary uses price pressure to control risk through inventory mean reversion. She trades off …
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Policy attention to the security industry increased substantially after the terrorist attacks in the U.S. on September 11th, 2001. With an increased demand for security, the global security market grew a tenfold to around €100 billion in 2011. Many studies expect that growth of the worldwide...
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