Similar Search Results

Are Retail Traders Compensated for Providing Liquidity?

Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

Persistent link: https://www.econbiz.de/10011096103

Central Clearing and Asset Prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - Tinbergen Instituut - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10011256681

Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition

Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012

The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...

Persistent link: https://www.econbiz.de/10011083426

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

Persistent link: https://www.econbiz.de/10011084210

Dealer Networks

Li, Dan; Schürhoff, Norman - C.E.P.R. Discussion Papers - 2014

, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

Persistent link: https://www.econbiz.de/10011084269

The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …

Persistent link: https://www.econbiz.de/10011093892

Dealer Networks

Li, Dan; Schurhoff, Norman - Federal Reserve Board (Board of Governors of the … - 2014

Persistent link: https://www.econbiz.de/10011095300

The dispersion effect in international stock returns

Leippold, Markus; Lohre, Harald - In: Journal of Empirical Finance 29 (2014) C, pp. 331-342

We find that stocks exhibiting high dispersion in analysts' earnings forecasts not only underperform in the U.S. but also in some European countries. Investigating the abnormal returns generated by the dispersion strategy around the world for the 1990–2008 sample period, we observe that the...

Persistent link: https://www.econbiz.de/10011116277

The impact of the French Tobin tax

Becchetti, L.; Ferrari, M.; Trenta, U. - In: Journal of Financial Stability 15 (2014) C, pp. 127-148

We analyze the impact of the introduction of the French Tobin tax on the turnover and measures of the liquidity and … inconclusive effects on liquidity when the latter is evaluated under the two dimensions of the estimated bid–ask spread and the …

Persistent link: https://www.econbiz.de/10011116607

Predictions of corporate bond excess returns

Lin, Hai; Wang, Junbo; Wu, Chunchi - In: Journal of Financial Markets 21 (2014) C, pp. 123-152

substantial variations in expected bond excess returns. Furthermore, liquidity factors and a bond׳s credit spread have predictive …

Persistent link: https://www.econbiz.de/10011116724