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What does PIN identify? Evidence from the T-bill market

Akay, Ozgur; Cyree, Ken B.; Griffiths, Mark D.; … - In: Journal of Financial Markets 15 (2012) 1, pp. 29-46

The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the discussion by estimating PIN using transaction data for...

Persistent link: https://www.econbiz.de/10010869356

On a preferred habitat for liquidity at the turn-of-the-year : evidence from the term-repo market

Griffiths, Mark D. - In: Journal of financial services research : JFSR 12 (1997) 1, pp. 21-38

Persistent link: https://www.econbiz.de/10001227783

What does PIN identify? : evidence from the T-bill market

Akay, Ozgur; Cyree, Ken B.; Griffiths, Mark D.; … - In: Journal of financial markets 15 (2012) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10009356614

The federal reserve and the 2007 - 2009 financial crisis : treating a virus with antibiotics? ; evidence from the commercial paper market

Griffiths, Mark D.; Kotomin, Vladimir; Winters, Drew B. - In: The financial review : the official publication of the … 46 (2011) 4, pp. 541-567

Persistent link: https://www.econbiz.de/10009384059

Federal Reserve financial crisis lending programs and bank stock returns

Cyree, Ken B.; Griffiths, Mark D.; Winters, Drew B. - In: Journal of banking & finance 37 (2013) 10, pp. 3819-3829

Persistent link: https://www.econbiz.de/10010127451

Liquidity issues in the money markets

Griffiths, Mark D.; Kotomin, Vladimir; Winters, Drew B. - In: Stock market liquidity : implications for market …, (pp. 43-58). 2008

Persistent link: https://www.econbiz.de/10003650470

Implications of a TAF program stigma for lenders : the case of publicly traded banks versus privately held banks

Cyree, Ken B.; Griffiths, Mark D.; Winters, Drew B. - In: Review of quantitative finance and accounting 49 (2017) 2, pp. 545-567

Persistent link: https://www.econbiz.de/10011797122