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Predicting ETF liquidity

Pham, Son Duy; Marshall, Ben R.; Nguyen, Nhut; … - In: Australian journal of management 49 (2024) 3, pp. 478-508

Persistent link: https://www.econbiz.de/10015210660

Debt market liquidity and corporate default prediction

Wu, Deming; Zhang, Suning - In: The quarterly journal of finance 4 (2014) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10010472890

A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies

Altman, Edward I. - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10012041794

Liquiditätsdynamik und optimale Orderaufteilungsstrategien

Griese, Knut - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003707351

Predicting ETF Liquidity

Pham, Son Duy - 2020

A substantial amount is incurred in ETF transaction costs each year. This paper examines the performance of a vector autoregressive (VAR) model and other naïve models to time trades in 1,350 ETFs over the 2011 to 2017 period. We find varied spread savings for large and retail ETF traders by...

Persistent link: https://www.econbiz.de/10012828896

Liquidity shocks and the negative premium of liquidity volatility around the world

Feng, Frank Yulin; Kang, Wenjin; Zhang, Huiping - In: Journal of international money and finance 139 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014478240

Forecasting liquidity in traditional and technology-based-sectors : the case of Poland

Bolek, Monika; Grosicki, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 9 (2013) 4, pp. 25-38

The present paper explores the possibility of forecasting company liquidity based on testing the coefficient of … variability. Secondly, it analyzes static and dynamic liquidity measures to ascertain which are better at prediction in the … and has not been dramatically affected by the crisis, and we believe that our research may reveal some liquidity …

Persistent link: https://www.econbiz.de/10010390525

Liquidity ratios and corporate failures

Li, Ken - In: Accounting and finance 64 (2024) 1, pp. 1111-1134

Persistent link: https://www.econbiz.de/10014540236

Liquidity and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820574

Applications of distress prediction models : what have we learned after 50 years from the Z-Score models?

Altman, Edward I. - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-15

Fifty years ago, I published the initial, classic version of the Z-score bankruptcy prediction models. This multivariate statistical model has remained perhaps the most well-known, and more importantly, most used technique for providing an early warning signal of firm financial distress by...

Persistent link: https://www.econbiz.de/10011883793