This paper analyzes market-wide liquidity using weekly data from 1990 to 2002 for a sample of 18 developed and emerging markets. The results suggest that market-wide liquidity is cross-sectionally determined by several country level variables: market returns and return volatilities, interest...

This paper investigates commonalities in liquidity and their implications for the pricing of financial assets in an international framework. It shows that three different monthly measures of individual stock liquidity exhibit commonalities within and across countries for a sample from Japan, the...

I investigate whether foreign investors are better informed than domestic in the framework of a rational expectations model with informed and uninformed traders as outlined by Llorente, Michaely, Saar, and Wang (2002). The paper analyzes the model implication that an increase in the fraction of...

Assessing systemic risk of mutual funds as a result of liquidity transformation is difficult because the frequency of flow and holdings data available is too low to properly isolate the price impact of redemption-driven sales of portfolio assets. Exchange-traded funds (ETFs) offer the advantage...

To examine whether corporate credit risk is cheaper to trade in the bond or credit-default swap (CDS) market, we estimate individual roundtrip transaction costs for 851 CDSs traded during 2009-2014. Effective half-spreads are 14 bps of the notional amount for dealer-to-enduser and 12 bps for...

This paper investigates the effectiveness of supervisory discipline on bank risk over the years immediately before, during and just after the recent crisis. It is the first study to consider the effects of informal supervisory enforcement actions in addition to formal actions. Informal...

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for (1-L)m2 and a single-equation...

Using a large sample of U.S. mortgages observed over the 2005-2009 period, we find that foreclosures are contagious. After controlling for major factors known to influence a borrower's decision to default, including borrower and loan characteristics, local demographic and economic conditions,...