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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 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/10010224773
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Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets
Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2001
This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …
Persistent link: https://www.econbiz.de/10010296586
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The diminishing liquidity premium
Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - 2008
that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …
Persistent link: https://www.econbiz.de/10010303688
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010303739
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Liquidity Shocks and Pension Fund Performance : Evidence From the Early Release Scheme
Brugler, James; Kim, Minsoo; Zhong, Zhuo - 2021
explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in …
Persistent link: https://www.econbiz.de/10013251091
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Liquidity Spillover Effects of Equity Offerings Over Dual-Class Shares
Vasco, Mateo - 2016
seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has … reduction, using panel data models we found a stock liquidity reduc- tion of dual-class shares upon the offering; consistent …
Persistent link: https://www.econbiz.de/10012999228
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Predatory Trading Around Russell Reconstitution
Zdorovtsov, Volodymyr M. - 2017
Using fourteen years of history, the authors study the behavior of Russell 3000 constituents on the last business day of May when benchmark composition is determined for the ensuing annual reconstitution. The paper presents evidence consistent with predatory trading, whereby closing prices of...
Persistent link: https://www.econbiz.de/10012949636
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Slow Capital, Fast Prices : Shocks to Funding Liquidity and Stock Price Reversals
Gissler, Stefan - 2015
" before reversing course. This paper looks at one particular channel of such patterns: the link between a liquidity provider …'s balance sheet and asset prices. I examine a well-identified historical case study where a large exogenous shock to a liquidity … capital constraints made stocks 15-20 percent more likely to be illiquid if they were connected to the distressed liquidity …
Persistent link: https://www.econbiz.de/10013019704
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Slow Capital, Fast Prices : Shocks to Funding Liquidity and Stock Price Reversals
Gissler, Stefan - 2015
” before reversing course. This paper looks at one particular channel of such patterns: the link between a liquidity provider …'s balance sheet and asset prices. I examine a well-identified historical case study where a large exogenous shock to a liquidity … capital constraints made stocks 15-20 percent more likely to be illiquid if they were connected to the distressed liquidity …
Persistent link: https://www.econbiz.de/10013033559
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Price, Volume and Liquidity Effects of Stocks Entering and Leaving Jakarta Islamic Index
Listyaningsih, Erna - 2015
Previous studies have documented that price and liquidity effects are associated with changes in stock market indices … due to bankruptcy, mergers, or tender offers. This study investigates price, volume and liquidity effects of stocks … capitalisation and liquidity have the same impacts. We find that stocks entering JII earn positive and statistically significant …
Persistent link: https://www.econbiz.de/10013034183