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The excess returns puzzle : interactions with information asymmetry variables
Jain, Ajeet; Strobl, Sascha - In: The international journal of finance 27 (2015) 3, pp. 334-352
Persistent link: https://www.econbiz.de/10011691297
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders
Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021
We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...
Persistent link: https://www.econbiz.de/10013247078
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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High frequency market making during stressed periods
Xu, Ke - In: International review of economics & finance : IREF 87 (2023), pp. 379-397
Persistent link: https://www.econbiz.de/10014472358
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The change in trading activity on volatility and adverse selection component : evidence from ADR splits
Jiang, Christine X.; Kim, Jang-Chul; Wood, Robert A. - In: Journal of multinational financial management 12 (2002) 4/5, pp. 323-345
Persistent link: https://www.econbiz.de/10001708142
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Credit spreads and state-dependent volatility : theory and empirical evidence
Perrakis, Stylianos; Zhong, Rui - In: Journal of banking & finance 55 (2015), pp. 215-231
Persistent link: https://www.econbiz.de/10011379076
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Liquidity risk and volatility risk in credit spread models : a unified approach
Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901
Persistent link: https://www.econbiz.de/10011865496
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Reviewing the Leverage Cycle
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how …
Persistent link: https://www.econbiz.de/10010895688