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Liquidity provision in the foreign exchange market
Gallien, Florent; Kassibrakis, Serge; Klimenko, Nataliya; … - 2018 - This version: July 15, 2018
construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …
Persistent link: https://www.econbiz.de/10011900334
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Electronic trading in OTC markets vs. centralized exchange
Liu, Ying; Vogel, Sebastian; Zhang, Yuan - 2017
We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this...
Persistent link: https://www.econbiz.de/10011877487
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …
Persistent link: https://www.econbiz.de/10012271211
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...
Persistent link: https://www.econbiz.de/10011762219
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Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?
Çötelioğlu, Efe - 2020
The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying … bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I … document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment …
Persistent link: https://www.econbiz.de/10012419383
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Liquidity, volume, and volatility
Bogousslavsky, Vincent; Collin-Dufresne, Pierre - 2019
We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … cross-section. Evidence from alternative liquidity measures (price impact and depth), spread decomposition, and intraday …
Persistent link: https://www.econbiz.de/10012177226
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The sovereign debt crisis : rebalancing or freezes?
Östberg, Peter; Richter, Thomas - 2018
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...
Persistent link: https://www.econbiz.de/10011865537
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Leverage Effect Puzzle : A Rational Explanation
Pankratov, Andrey - 2019
I study the effects of short sale constraints in a rational framework with asymmetric information. I consider the cases of Bernoulli-distributed (à la Glosten and Milgrom) and continuously distributed (à la Kyle) liquidation values, and focus on the latter case.In this case my model is able to...
Persistent link: https://www.econbiz.de/10012893350
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Finfluencers
Kakhbod, Ali; Kazempour, Seyed Mohammad; Livdan, Dmitry; … - 2023
Tweet-level data from a social media platform reveals low average accuracy and high dispersion in the quality of advice by financial influencers, or “finfluencers”: 28% of finfluencers are skilled, generating 2.6% monthly abnormal returns, 16% are unskilled, and 56% have negative skill...
Persistent link: https://www.econbiz.de/10014355024
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Cognitive biases, ambiguity aversion and asset pricing in financial markets
Asparouhova, Elena; Bossaerts, Peter L.; Eguia, Jon; … - 2010 - This version: March 2010
We present a new theory of asset pricing and portfolio choices under asymmetric reasoning, contrast the predictions with those under asymmetric information, and present experimental evidence in favor of our theory. The Efficient Markets Hypothesis and its formal foundation, the Rational...
Persistent link: https://www.econbiz.de/10003970453