In this paper we perform an empirical analysis of the trading process in a pure limit order book market, the Xetra system which operates at various European exchanges. We study how liquidity supply and demand as well as price volatility affect future trading activity and market resiliency, and...

We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which operates at various European exchanges. When constructing...

This study addresses two questions: where does price discovery occur for internationally-traded firms and how do international stock prices adjust to an exchange rate shock? These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

More and more trading venues throughout the world operate as open order book markets. In those exchanges, liquidity is supplied voluntarily by market participants who provide an inflow of limit buy and sell orders. Non-executed orders constitute the limit order book which consists of distinct,...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). We modify the estimation approach of Parker and Julliard (2005) taking...

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book market. Given the discontenting empirical model performance reported in the previous literature, we relax restrictive assumptions of the underlying theoretical model concerning...

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level....

Forecasts of the federal funds rate target, the most anticipated indicator of the Fed's monetary policy stance, can be considerably improved when its evolution is modeled as a marked point process in discrete time. This paper motivates an alternative approach that combines Hamilton and Jorda's...