Liquidity trading is an important component of market microstructure models. In most cases, its role is primarily to ensure existence of equilibrium and therefore that trading occurs among asymmetrically informed agents. While most market microstructure models allege that agents trade based upon...

This paper empirically analyzes the long memory relationship between the real returns on Canadian and US Treasury bills. A fractional cointegration approach, instead of conventional integer integration (unit root) and cointegration approaches, is used in analyzing the relationship. The advantage...

Finance journal quality is a critical issue for faculty annual elevations, for the tenure and promotion process, and for the administration of faculty workload plans. Unlike other studies that use objective measures (such as citation frequencies) to rate journals, this study focuses on the...