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Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

Liquidity Supply and Demand in Limit Order Markets

Hollifield, Burton; Miller, Robert A.; Sandås, Patrik; … - C.E.P.R. Discussion Papers - 2002

We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market … rate of traders and increases the number of value traders arriving — liquidity supply is more competitive after periods of … arriving — liquidity supply is less competitive when the spread widens. …

Persistent link: https://www.econbiz.de/10005136412

The impact of dark trading and visible fragmentation on market quality

de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

Persistent link: https://www.econbiz.de/10009359491

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity …

Persistent link: https://www.econbiz.de/10011083673

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

accepted. Finally, public information news in the U.S. is associated with increased liquidity, while the effect in Portugal …

Persistent link: https://www.econbiz.de/10005666949

Global Private Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...

Persistent link: https://www.econbiz.de/10005667137

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10005791707

Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...

Persistent link: https://www.econbiz.de/10005114153

EMU and European Stock Market Integration

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999

The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

Persistent link: https://www.econbiz.de/10005788933

Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011

meaningful risk-return relation in the FX market. Further analysis shows that liquidity risk also matters for expected FX returns …

Persistent link: https://www.econbiz.de/10008867494