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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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The Effects of Volatility on Liquidity in the Treasury Market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
difference tends to diminish at times of high volatility, indicating that the perceived information content of going against the …
Persistent link: https://www.econbiz.de/10014350704
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Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B. - 2015
We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on...
Persistent link: https://www.econbiz.de/10013028638
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Time-Varying Volatility and the Power Law Distribution of Stock Returns
Warusawitharana, Missaka - 2016
While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power...
Persistent link: https://www.econbiz.de/10013210380
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Asset allocation and risk taking under different interest rate regimes
Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023
We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...
Persistent link: https://www.econbiz.de/10014278642
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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks
Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022
asset commonality in the spirit of CoVaR as defined by Adrian and Brunnermeier (2016). Based on granular information, we …
Persistent link: https://www.econbiz.de/10013373564
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Information and liquidity of OTC securities : evidence from public registration of Rule 144A bonds
Han, Song; Huang, Alan Guoming; Madhu, Kalimipalli,; … - 2018 - This version: June, 2018
the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using …, dealer-specific effective bid-ask spreads narrow, especially for issues with higher ex-ante information asymmetry. Our … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …
Persistent link: https://www.econbiz.de/10012016179
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Price pressure and price discovery in the term structure of interest rates
Mixon, Scott; Tuzun, Tugkan - 2018
We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories....
Persistent link: https://www.econbiz.de/10012016240
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Competition among high-frequency traders, and market quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012016546