Narrow search
Showing 1 - 10 of 132
Cover Image
To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010958715
Cover Image
Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010958522
Cover Image
Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010958491
Cover Image
The diminishing liquidity premium
Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008
that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …
Persistent link: https://www.econbiz.de/10010958533
Cover Image
The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less...
Persistent link: https://www.econbiz.de/10012705617
Cover Image
Financial disclosure and market transparency with costly information processing
Di Maggio, Marco; Pagano, Marco - 2014
externality: if speculators refrain from trading, hedgers do the same, depressing the asset price. Market transparency reinforces … disclosure of fundamentals and trading transparency. Issuers may either under- or over-provide information compared to the …
Persistent link: https://www.econbiz.de/10010421123
Cover Image
Financial disclosure and market transparency with costly information processing
Di Maggio, Marco; Pagano, Marco - Center for Financial Studies - 2014
externality: if speculators refrain from trading, hedgers do the same, depressing the asset price. Market transparency reinforces … disclosure of fundamentals and trading transparency. Issuers may either under- or over-provide information compared to the …
Persistent link: https://www.econbiz.de/10010961636
Cover Image
Is there a bubble in the art market?
Kräussl, Roman; Lehnert, Thorsten; Martelin, Nicolas - 2014
The record-breaking prices observed in the art market over the last three years raise the question of whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions...
Persistent link: https://www.econbiz.de/10010427015
Cover Image
Measuring euro area monetary policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012019809
Cover Image
CEO-speeches and stock returns
Bannier, Christina; Pauls, Thomas; Walter, Andreas - 2017
We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors' decision-making. Surprisingly, however, we...
Persistent link: https://www.econbiz.de/10011760103