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QE and the Gilt Market : A Disaggregated Analysis

Daines, Martin - 2012

We examine the impact of the first phase of the Bank of England's quantitative easing (QE) programme during March 2009 to January 2010 on the UK government bond (gilt) market, using high-frequency disaggregated data on individual gilts. We find that: QE announcements took varying amounts of time...

Persistent link: https://www.econbiz.de/10013098832

Estimating and Testing Beta Pricing Models : Alternative Methods and Their Performance in Simulations

Shanken, Jay A. - 2006

In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the...

Persistent link: https://www.econbiz.de/10012734671

QE and the gilt market: a disaggregated analysis

Daines, Martin; Joyce, Michael; Tong, Matthew - Bank of England - 2012

We examine the impact of the first phase of the Bank of England’s quantitative easing (QE) programme during March 2009 to January 2010 on the UK government bond (gilt) market, using high-frequency disaggregated data on individual gilts. We find that: QE announcements took varying amounts of...

Persistent link: https://www.econbiz.de/10009358603

Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors

Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013

This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...

Persistent link: https://www.econbiz.de/10011107278

Permanent trading impacts and bond yields

Dufour, Alfonso; Nguyen, Minh - In: The European journal of finance 18 (2012) 9/10, pp. 841-864

Persistent link: https://www.econbiz.de/10009691777

Overcrowding versus liquidity in the euro sovereign bond markets

Coppola, Andrea; Girardi, Alessandro; Piga, Gustavo - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 307-318

Persistent link: https://www.econbiz.de/10010355973

Default and liquidity regimes in the bond market during the 2002 - 2012 period

Dionne, Georges; Chun, Olfa Maalaoui - In: The Canadian journal of economics 46 (2013) 4, pp. 1160-1195

Persistent link: https://www.econbiz.de/10010236983

Treasury bond market segment at Bucharest Stock Exchange : august 2008 - june 2012

Pop, Cornelia; Georgescu, Maria-Andrada - In: Acta Universitatis Danubius / Oeconomica 9 (2013) 2, pp. 193-202

Persistent link: https://www.econbiz.de/10010202636

How has sovereign bond market liquidity changed? : an illiquidity spillover analysis

Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - 2016

, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …

Persistent link: https://www.econbiz.de/10011552483

The impacts of liquidity measures and credit rating on corporate bond yield spreads : evidence from China's green bond market

Chang, Kai; Feng, Yan Ling; Liu, Wang; Lu, Ning; Li, … - In: Applied economics letters 28 (2021) 17, pp. 1446-1457

Persistent link: https://www.econbiz.de/10012626592