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Bond Liquidity and Dealer Inventories : Insights from US and European Regulatory Data
Ivanov, Plamen - 2020
Most corporate bond research on liquidity and dealer inventories is based on the USD-denominated bonds transactions in … how using the CUSIP-level information from TRACE and ZEN affects the computation of bond liquidity metrics, dealer … information from ZEN. We find a strong positive relationship between inventories and liquidity, as proxied by the trading activity …
Persistent link: https://www.econbiz.de/10012842570
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.
reduce the funding liquidity risk of global institutions. -- Covered interest rate parity ; funding constraints …
Persistent link: https://www.econbiz.de/10003947651
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Did Eliminating the 20-F Reconciliation Between IFRS and US GAAP Matter?
Jiang, John (Xuefeng) - 2010
The SEC decided in 2007 to allow foreign private issuers who use IFRS as promulgated by the IASB (pure IFRS filers, hereafter) to stop providing reconciliations to US GAAP. Some opposed the measure because the limited academic literature available at the time indicated that the reconciliation is...
Persistent link: https://www.econbiz.de/10013136862
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Hedge Funds and the US Real Estate Bubble : Evidence from NYSE Real Estate Firms
Hardouvelis, Gikas A. - 2012
The recent US Real Estate Bubble had consequences not only for the real economy but for the stock market as well. Real Estate Investment Trusts' (REITS) prices reached levels which could not be supported by their fundamentals until mid-2007. Using this observation as a starting point we examine...
Persistent link: https://www.econbiz.de/10013116859
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Standard Deviation or Variance : The Better Proxy for Large Hedgers and Large Speculators Risk in U.S. Futures Markets
Gurrib, Ikhlaas - 2013
Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater reliance on the ARCH term for speculators' suggested their...
Persistent link: https://www.econbiz.de/10013073757
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Why U.S. Firms Delist from the Tokyo Stock Exchange : An Empirical Analysis
Liu, Shinhua - 2013
enhanced shareholder base and liquidity as two of the reasons for foreign listing. Further investigations rule out the sample …
Persistent link: https://www.econbiz.de/10013076143
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Information Asymmetry, Cultural Difference, and Divergence in Investor Reactions : Empirical Evidence from the Chinese and U.S. Stock Markets
Lee, Seungho; Walker, Thomas John; Zhang, Aoran; Zhao, … - 2021
This paper investigates how heterogeneous sentiments and perspectives expressed in public online media about the abolition of the Chinese presidential term limit in 2018 may have caused a divergence in investor behavior between the U.S. and China. We document that sentiments expressed in social...
Persistent link: https://www.econbiz.de/10013314597
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Political uncertainty and commodity prices
Hou, Kewei; Tang, Ke; Zhang, Bohui - 2017 - This version: October 2017
We study the effects of political uncertainty on commodity markets from both theoretical and empirical perspectives. Consistent with our theoretical predictions, commodity prices and inventories decline by 6.6% and 5.7%, respectively, and convenience yields increase by 1.9% in the quarter...
Persistent link: https://www.econbiz.de/10011968947
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Duty of Disclosure : Comparison of Securities Regulations between U.S. and S. Korea by Cases in Bio-Pharmaceutical Industry
Sohn, Donghoo - 2019
This paper introduces the concept of false and misleading statements or omissions regarding companies in the bio-pharmaceutical industry, based on court decisions. Due to essential problem of stock market, “asymmetry of information,” if company’s public statements about material...
Persistent link: https://www.econbiz.de/10014032926
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Shocks from the Subprime Crisis to Bond Indices in the U.S., the EU and Emerging Markets Via CDS Indices
Fang, Hao - 2010
Persistent link: https://www.econbiz.de/10013138968