Showing 1 - 10 of 222
We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the...
Persistent link: https://www.econbiz.de/10012735262
This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-consistent vector autoregressive model (VAR) is employed to test the dynamic relationship between return volatility and trades using...
Persistent link: https://www.econbiz.de/10012757195
We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the...
Persistent link: https://www.econbiz.de/10012720257
We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...
Persistent link: https://www.econbiz.de/10012724910
We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach extends the...
Persistent link: https://www.econbiz.de/10012730442
This paper examines short‐run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahighfrequency futures data are employed—which have a number of advantages over the low‐frequency spot data commonly used in previous studies—in...
Persistent link: https://www.econbiz.de/10011197669
Persistent link: https://www.econbiz.de/10006813558
Persistent link: https://www.econbiz.de/10005928209
In this article we examine the interaction of brokerage search with the Bayesian learning behavior of competitive dealers under asymmetric information. We particularly focus on the effects of price search and discretionary trading on the performance of a dealer market. A search process is...
Persistent link: https://www.econbiz.de/10005667597
This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility....
Persistent link: https://www.econbiz.de/10005728251