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Liquidity premium and the Corwin-Schultz bid-ask spread estimate

Zhang, Xindong; Yang, Junxian; Su, Huimin; Zhang, Shun - In: China finance review international 4 (2014) 2, pp. 168-186

Persistent link: https://www.econbiz.de/10011337798

The missing piece of the puzzle : liquidity premiums in inflation-indexed markets

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2017

Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...

Persistent link: https://www.econbiz.de/10011730002

Empirical tests on the asset pricing model with liquidity risk : an unobserved components approach

Fall, Malick; Louhichi, Waël; Viviani, Jean-Laurent - In: Economic modelling 80 (2019), pp. 75-86

Persistent link: https://www.econbiz.de/10012199186

The price effects of liquidity shocks : a study of the SEC’s tick size experiment

Albuquerque, Rui; Song, Shiyun; Yao, Chen - In: Journal of financial economics 138 (2020) 3, pp. 700-724

Persistent link: https://www.econbiz.de/10012653132

No good deals : no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2013

Persistent link: https://www.econbiz.de/10009722399

Optimal hedging of variance derivatives

Crosby, John - In: The European journal of finance 20 (2014) 1/3, pp. 150-180

Persistent link: https://www.econbiz.de/10010462131

Understanding foreign exchange option returns : the information content of volatility

Kermiche, Lamya; Dupuy, Philippe - In: The journal of applied business research 32 (2016) 2, pp. 439-448

Persistent link: https://www.econbiz.de/10011500530

Block trading, information asymmetry, and the informativeness of trading : evidence from Chinese security markets

Pan, Ningning; Zhu, Hongquan - In: China finance review international 5 (2015) 3, pp. 215-235

Persistent link: https://www.econbiz.de/10011391728

Competition in portfolio management : theory and experiment

Asparouhova, Elena; Bossaerts, Peter L.; Čopič, Jernej; … - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1868-1888

Persistent link: https://www.econbiz.de/10011338808

Diversification and portfolio theory: a review

Koumou, Gilles Boevi - In: Financial markets and portfolio management 34 (2020) 3, pp. 267-312

Persistent link: https://www.econbiz.de/10012289665