Search Results - subject:"Spread decomposition"

A macro-financial analysis of the euro area sovereign bond market

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; Perea, … - Nationale Bank van België/Banque national de Belqique (BNB) - 2014

yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing …

Persistent link: https://www.econbiz.de/10011272786

A macro-financial analysis of the euro area sovereign bond market

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; Sola … - 2014

yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing …

Persistent link: https://www.econbiz.de/10011589074

The accuracy of spread decomposition models in capturing informed trades : Evidence from the London Stock Exchange and behavioural implications

Gregoriou, Andros; Rhodes, Mark - In: Review of Behavioral Finance 9 (2017) 1, pp. 2-13

(managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach An … econometric application of spread decomposition models to data from the London Stock Exchange, with an examination of whether the … alternative to extant spread decomposition models perhaps incorporating findings from behavioural finance. Originality/value Given …

Persistent link: https://www.econbiz.de/10014990061

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread … decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework …

Persistent link: https://www.econbiz.de/10010308551

Limit order books and trade informativeness

Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - 2011

In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

Persistent link: https://www.econbiz.de/10010308565

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - Center for Financial Studies - 2011

Persistent link: https://www.econbiz.de/10010986395

Limit order books and trade informativeness

Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - Center for Financial Studies - 2011

Persistent link: https://www.econbiz.de/10010958547

A macro-financial analysis of the euro area sovereign bond market

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; de Sola … - In: Journal of Banking & Finance 50 (2015) C, pp. 308-325

yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing …

Persistent link: https://www.econbiz.de/10011118121

Informed trading, institutional trading, and spread

Dey, Malay; Radhakrishna, B. - In: Journal of Economics and Finance 39 (2015) 2, pp. 288-307

We use transactions data from TORQ and present empirical evidence on the cross sectional relation between institutional trading and effective spread after controlling for trading volume denoting inventory and order processing costs and probability of informed trading (PIN) denoting risk of...

Persistent link: https://www.econbiz.de/10011241378

Informed trading, institutional trading, and spread

Dey, Malay K.; Radhakrishna, B. - In: Journal of economics and finance 39 (2015) 2, pp. 288-307

Persistent link: https://www.econbiz.de/10011471095