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On the Term Structure of Liquidity in the European Sovereign Bond Market

O'Sullivan, Conall - 2020

The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil … and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of … Europe's leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to …

Persistent link: https://www.econbiz.de/10012851767

Another Look at Momentum Crashes : Momentum in the European Monetary Union

Grobys, Klaus - 2015

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

Persistent link: https://www.econbiz.de/10013028257

Do Corruption Perceptions Impact the Pricing and Access of Euro Area Corporations to Bond Markets?

Alonso, Marta; Moreno, Antonio; Mesa Toro, Andres; … - 2022

Public sector corruption affects economic and financial outcomes, such as GDP growth, foreign direct investment, and government funding costs. Less is known about the spillovers from perceptions of public sector corruption on the private sector corporate bond market. In this paper, we assess the...

Persistent link: https://www.econbiz.de/10013403925

Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market

O'Sullivan, Conall - 2017

This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and … time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our …, Europe's premier electronic fixed-income trading market, is employed to construct a variety of microstructure liquidity and …

Persistent link: https://www.econbiz.de/10012958553

The cost of new information : ECB macro announcement impacts on bid-ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael - 2013

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate...

Persistent link: https://www.econbiz.de/10010211906

Financial Engineering Coupled with Regulatory Incentives : Is There a Strong Market Case for Sovereign Bond-Backed Securities (SBBSs) in the Euro-Area? A Brief Analysis of the European Commission's Proposal for a Regulation on SBBSs

Gortsos, Christos - 2018

-section 2).(4) The notification, transparency and information requirements laid down in Articles 10-12 of the proposed …

Persistent link: https://www.econbiz.de/10012911693

The Impact and the Spillover Effect of a Sovereign Rating Announcement on the Euro Area CDS Market

Drago, Danilo - 2018

This paper analyzes the impact and the spillover effect of a sovereign rating announcement on the euro area CDS market. Through the event study technique, we demonstrate that downgrades and upgrades considerably affect financial markets. The relevance of the impact is due to the introduction of...

Persistent link: https://www.econbiz.de/10012914131

European Sovereign Debt Crisis and the Performance of Dutch IPOs

Dorsman, Andre B. - 2014

amount of money left on the table. Consistent with the information revelation theory, we argue that the underpricing …

Persistent link: https://www.econbiz.de/10013068506

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...

Persistent link: https://www.econbiz.de/10013063273

Archival Data of Financial Analysts’ Earnings Forecasts in the Euro Zone : Problems With Euro Conversions

Galanti, Sébastien - 2018

In multi-country studies, researchers frequently extract data in a single currency rather than in native currencies. This approach can be misleading for financial analysts' forecasts in the euro zone when researchers are using the IBES database. We suspect that forecasts of earnings before the...

Persistent link: https://www.econbiz.de/10012925798