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A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...

Persistent link: https://www.econbiz.de/10011449872

Pump up the volume: income risk and counter-cyclical asset trading

Sarolli, Gian Domenico - In: Eastern economic journal 42 (2016) 4, pp. 594-610

Persistent link: https://www.econbiz.de/10012238615

Long horizons, high risk aversion, and endogenous spreads

Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753

Persistent link: https://www.econbiz.de/10011350524

Multivariate GARCH with dynamic beta

Raddant, Matthias; Wagner, Friedrich - In: The European journal of finance 28 (2022) 13/15, pp. 1324-1343

Persistent link: https://www.econbiz.de/10013532205

Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250

Persistent link: https://www.econbiz.de/10009621174

Trading Volume : Definitions, Data Analysis, and Implications of Portfolio Theory

Lo, Andrew W. - 2000

We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …

Persistent link: https://www.econbiz.de/10012471146

Trading Volume : Definitions, Data Analysis, and Implications of Portfolio Theory

Lo, Andrew W. - 2001

We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …

Persistent link: https://www.econbiz.de/10012788102

Trading Volume : Implications of An Intertemporal Capital Asset Pricing Model

Lo, Andrew W. - 2001

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that...

Persistent link: https://www.econbiz.de/10012470153

Encyclopedia of Financial Models, 3 Volume Set

Fabozzi, Frank J. - 2012

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of...

Persistent link: https://www.econbiz.de/10012676797

Encyclopedia of Financial Models, Volume II

Fabozzi, Frank J. - 2012

MULTIFACTOR CAPM: MERTON -- ARBITRAGE PRICING THEORY: ROSS -- ARBITRAGE, HEDGING, AND OPTION THEORY: BLACK, SCHOLES, AND MERTON … Portfolio Construction -- Factor Models -- ARBITRAGE PRICING THEORY -- TYPES OF FACTOR MODELS -- FACTOR MODEL ESTIMATION -- USE … -- TIME HORIZON OF MODELS -- APPLICATIONS -- KEY POINTS -- REFERENCES -- Regression Analysis: Theory and Estimation -- THE …

Persistent link: https://www.econbiz.de/10012682657