Showing 1 - 10 of 20,343
We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...
Persistent link: https://www.econbiz.de/10012938427
Persistent link: https://www.econbiz.de/10011591154
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...
Persistent link: https://www.econbiz.de/10014043638
We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost …
Persistent link: https://www.econbiz.de/10014635687
"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …
Persistent link: https://www.econbiz.de/10013108222
Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three … evidence of exchange rate risk is found in both large bank and regional bank stocks in the conditional three-factor model with … conditional first and second moments of bank portfolio returns and risk factors are estimated simultaneously show strong evidence …
Persistent link: https://www.econbiz.de/10013244924
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10001657476
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for … reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth …. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, firm stock …
Persistent link: https://www.econbiz.de/10012905361
From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility … in a country can be higher than the stock return volatility of a similar firm in another country for reasons that … contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that …
Persistent link: https://www.econbiz.de/10012905943