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Short-sale constraints, differences of opinion, and overvaluation

Boehme, Rodney D.; Danielsen, Bartley R.; Sorescu, Sorin M. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 2, pp. 455-488

Persistent link: https://www.econbiz.de/10003331906

Stock price effects analysis between US and Taiwanese online stock trading

Tseng, Chiu-che; Wei, June; Kang, Ching-tsai - In: International journal of electronic finance : IJEF 2 (2008) 4, pp. 371-382

Persistent link: https://www.econbiz.de/10003809551

Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2008

Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...

Persistent link: https://www.econbiz.de/10003863839

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

Intraday characteristics of stock price crashes

Ammann, Manuel; Kessler, Stephan - In: Applied financial economics 19 (2009) 13/15, pp. 1239-1255

Persistent link: https://www.econbiz.de/10003886042

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...