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Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Journal of Financial Economics 105 (2012) 1, pp. 18-36
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …
Persistent link: https://www.econbiz.de/10010571651
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - In: Journal of Financial Economics 114 (2014) 3, pp. 405-423
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …
Persistent link: https://www.econbiz.de/10011076295
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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115
sample analysis reveals that the increased post-trade transparency following central clearing is associated with an … improvement in liquidity and trading activity. …
Persistent link: https://www.econbiz.de/10010752915
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Sell-order liquidity and the cross-section of expected stock returns
Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …
Persistent link: https://www.econbiz.de/10010617605
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Understanding commonality in liquidity around the world
Karolyi, G. Andrew; Lee, Kuan-Hui; Dijk, Mathijs A. van - In: Journal of Financial Economics 105 (2012) 1, pp. 82-112
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …
Persistent link: https://www.econbiz.de/10010571656
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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25
factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …
Persistent link: https://www.econbiz.de/10010718732
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig V.; Rangvid, Jesper - In: Journal of Financial Economics 115 (2015) 1, pp. 136-154
We show that macroeconomic growth at the end of the year (fourth quarter or December) strongly influences expected returns on risky financial assets, whereas economic growth during the rest of the year does not. We find this pattern for many different asset classes, across different time...
Persistent link: https://www.econbiz.de/10011115770
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Trade credit and cross-country predictable firm returns
Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu W. - In: Journal of Financial Economics 115 (2015) 3, pp. 592-613
We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable...
Persistent link: https://www.econbiz.de/10011208266
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Monetary policy and long-term real rates
Hanson, Samuel G.; Stein, Jeremy C. - In: Journal of Financial Economics 115 (2015) 3, pp. 429-448
Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate....
Persistent link: https://www.econbiz.de/10011208269
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Did CDS trading improve the market for corporate bonds?
Das, Sanjiv; Kalimipalli, Madhu; Nayak, Subhankar - In: Journal of Financial Economics 111 (2014) 2, pp. 495-525
efficiency, quality (pricing error), and liquidity. The credit default swap (CDS) market was undoubtedly one of the salient new … efficient, evidenced no reduction in pricing errors, and experienced no improvement in liquidity. These findings are robust to …
Persistent link: https://www.econbiz.de/10010737665