Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

We examine the introduction of mandatory post-trade reporting in the TBA mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors' trades with peripheral dealers than for their trades with core...

Based on reconstructed high-frequency limit order book data, we provide empirical evidence of systematic liquidity co-variation across DAX-30 stocks. We show that commonality in liquidity is even more crucial beyond the best limits, and that liquidity shocks are correlated across different order...

The aim of our study is to examine the dynamics of trading volume and number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Are high-frequency realized measures profitable for low-frequency investment? I compare the profitability of the same investment strategy against two implementations of its trading signals: one that conventionally uses daily returns (LF) and the other that takes advantage of high-frequency (HF)...