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Drivers of seasonal return patterns in German stocks
Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business Research 11 (2018) 1, pp. 173-196
Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...
Persistent link: https://www.econbiz.de/10011817094
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Carbon information disclosure of enterprises and their value creation through market liquidity and cost of equity capital
Li, Li; Yang, Yuanhua; Tang, Dengli - In: Journal of Industrial Engineering and Management (JIEM) 8 (2015) 1, pp. 137-151
influence on enterprise value creation, which is embodied in the relationship between carbon information disclosure quantity …, while the influence of carbon information disclosure quality and concentration on enterprise value creation are not … information disclosure and enterprise value creation deeply, answers the question of whether carbon information disclosure affects …
Persistent link: https://www.econbiz.de/10011939191
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Private and public liquidity provision in over-the-counter markets
Arseneau, David M.; Rappoport, David E.; Vardoulakis, … - In: Theoretical Economics 15 (2020) 4, pp. 1669-1712
We show that trade frictions in OTC markets result in inefficient private liquidity provision. We develop a dynamic model of market-based financial intermediation with a two-way interaction between primary credit markets and secondary OTC markets. Private allocations are generically inefficient...
Persistent link: https://www.econbiz.de/10013189011
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Liquidity spill-overs in sovereign bond market: An intra-day study of trade shocks in calm and stressful market conditions
Jurksas, Linas; Teresiene, Deimante; Kanapickiene, Rasa - In: Economies 9 (2021) 1, pp. 1-22
The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed...
Persistent link: https://www.econbiz.de/10013199773
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Market liquidity and its dimensions: Linking the liquidity dimensions to sentiment analysis through microblogging data
Guijarro Martinez, Francisco; Moya, Ismael; Saleemi, Jawad - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity...
Persistent link: https://www.econbiz.de/10013201078
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of Risk and Financial Management 13 (2020) 1, pp. 1-14
The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...
Persistent link: https://www.econbiz.de/10012611237
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The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
Schoenemann, Gregor Helmut - In: Journal of Futures Markets 42 (2021) 3, pp. 446-471
In this study, I analyze the effect of central clearing on credit default swap (CDS) market breadth, depth, and resiliency using a regression discontinuity design. I find evidence for a decrease in absolute bid–ask spreads and bid–ask spread resiliency and an increase in gross trading volume...
Persistent link: https://www.econbiz.de/10014485905
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Capital Market Implications of Corporate Disclosure: German Evidence
Grüning, Michael - In: BuR - Business Research 4 (2011) 1, pp. 48-72
This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms … registered on the Deutsche Börse. Disclosure is comprehensively measured using the innovative Artificial Intelligence Measurement … of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors …
Persistent link: https://www.econbiz.de/10010421359
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Unternehmensstrukturstatistiken und Statistik für kleine und mittlere Unternehmen nach dem EU-Unternehmensbegriff: Ergebnisse für 2018
Jung, Sandra; Kaus, Wolfhard - In: WISTA – Wirtschaft und Statistik 72 (2020) 6, pp. 68-81
Unternehmen (KMU) präsentiert. Die Umstellung der Unternehmensdefinition führt zu Qualitätsverbesserungen der KMU-Statistik, weil … unechte KMU nun zu großen Unternehmen zusammengefasst werden. Abschließend werden Auswirkungen des Wechsels der …As of reference year 2018, the new EU enterprise concept was introduced in structural business statistics, which led to …
Persistent link: https://www.econbiz.de/10012392755
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Profiling von Unternehmen im Echtbetrieb
Redecker, Matthias; Rommelspacher, Simon; Sturm, Roland - In: WISTA - Wirtschaft und Statistik 73 (2021) 5, pp. 99-113
Die Methode Profiling von Unternehmen analysiert die rechtliche, organisatorische und rechnungslegende Struktur von … Unternehmensgruppen, um die für die Wirtschaftsstatistik relevanten Unternehmen korrekt abzugrenzen. Profiling von Unternehmen wurde in …The profiling of enterprises method analyses the legal, organisational and accounting structure of enterprise groups in …
Persistent link: https://www.econbiz.de/10012656336