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Stock Liquidity and SMEs’ Likelihood of Bankruptcy : Evidence from the US Market

El Kalak, Izidin - 2018

We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

Persistent link: https://www.econbiz.de/10012930056

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010222894

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

To disclose or not to disclose : transparency and liquidity in the structured product market

Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

Persistent link: https://www.econbiz.de/10010361830

Stock Liquidity and Default Risk

Brogaard, Jonathan - 2019

This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …

Persistent link: https://www.econbiz.de/10012904049

Insurance companies as liquidity providers : The case of corporate-bond mutual funds

Aramonte, Sirio; Mano, Nicola - 2022

their liabilities means that these funds are important sources of liquidity demand, often in already unsettled markets. The … concomitant reduction in liquidity supply by dealers raises the question of which intermediaries accommodate mutual funds' sales … demand liquidity, and insurance companies, which hold large amounts of corporate bonds. They often trade in opposite …

Persistent link: https://www.econbiz.de/10014361293

Bond Default Matters in China : Evidence from Illiquidity Premium

Gao, Haoyu; Hao, Dapeng; Jia, Calvin Dun; Qiu, Zhigang - 2022

This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …

Persistent link: https://www.econbiz.de/10013406173

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Noise Trading : An Ad-based Measure

Fang, Vivian W. - 2020

This paper proposes a novel measure of noise trading that aims to capture uninformed retail trading. The measure, an indicator of whether the firm placed advertisement(s) in the Wall Street Journal seven calendar days earlier, is motivated by evidence that retail trading spikes seven days after...

Persistent link: https://www.econbiz.de/10012851069

An option-based approach to measuring disclosure asymmetry

Smith, Kevin - 2020

In this paper, I develop a measure of the difference in the amount of information that investors expect a forthcoming disclosure to contain should it reveal good news versus bad news (the disclosure's "asymmetry"). I derive this measure from a model of option prices leading up to an asymmetric...

Persistent link: https://www.econbiz.de/10012853484