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Liquidity provision in the overnight foreign exchange market

Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon … - 2004

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange … consistent with liquidity provision. …

Persistent link: https://www.econbiz.de/10011968161

Liquidity Provision in the Overnight Foreign Exchange Market

Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon - 2004

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange … consistent with liquidity provision. …

Persistent link: https://www.econbiz.de/10012143627

The intended and unintended consequences of financial-market regulations: A general equilibrium analysis

Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - 2016

In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as...

Persistent link: https://www.econbiz.de/10011435502

Differences of opinion and stock price reaction in the case of corporate spin-off announcements

Kim, Daewon - In: Global Business & Finance Review (GBFR) 22 (2017) 2, pp. 65-81

Persistent link: https://www.econbiz.de/10012286627

The effect of investor disagreement on wealth gain from corporate spinoff announcements

Kim, Daewon - In: Global Business & Finance Review (GBFR) 24 (2019) 2, pp. 69-82

Persistent link: https://www.econbiz.de/10012286680

Faff, Robert - In: Journal of Accounting and Management Information … 13 (2014) 4, pp. 607-622

"Alpha" has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance theory is the risk-return relation, and traditionally alpha is taken to represent the degree of "mispricing" in asset returns. But, such an interpretation is not always appropriate...

Persistent link: https://www.econbiz.de/10015196204

Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

Persistent link: https://www.econbiz.de/10014303041

Clustering-based sector investing

Bagnara, Matteo; Goodarzi, Milad - 2023

while book-to-market and financial liquidity variables matter for clustering-based sectors. …

Persistent link: https://www.econbiz.de/10014321226

Extreme weather risk and the cost of equity

Braun, Alexander; Braun, Julia; Weigert, Florian - 2023

We examine if extreme weather exposure impacts firms' cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....

Persistent link: https://www.econbiz.de/10014456421

Asset Pricing and Machine Learning: A critical review

Bagnara, Matteo - In: Journal of Economic Surveys 38 (2022) 1, pp. 27-56

The latest development in empirical Asset Pricing is the use of Machine Learning methods to address the problem of the factor zoo. These techniques offer great flexibility and prediction accuracy but require special care as they strongly depart from traditional Econometrics. We review and...

Persistent link: https://www.econbiz.de/10014504073