This paper develops a method to predict comparable income and consumption distributions for all countries in the world from a simple regression with a handful of country-level variables. To fit the model, the analysis uses more than 2,000 distributions from household surveys covering 168...

This paper is aimed at investigating the effect of ownership structure and firm size on firm growth. While the relationship between ownership structure and firm performance has been discussed in numerous studies, inadequate attention is drawn on the correlation between ownership structure and...

This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...

The characteristics of the order flow in limit order markets has been significantly altered since the introduction of Market in Financial Instruments Directive. We revisit issues related to the shape of the limit order book and its information content in a post-MiFID world using message level...

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of...

This paper studies the relationship between a country's risk of default and the illiquidity of bonds issued by the same country. Government bonds are traded in the secondary market on an inter-dealer electronic trading platform. Bond's illiquidity depends on both the country's fundamental and...