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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10010325910
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011506750
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Arbitrage and Liquidity : Evidence from a Panel of Exchange Traded Funds
Rappoport, David E.; Tuzun, Tugkan - 2020
Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …
Persistent link: https://www.econbiz.de/10014048719
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BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets
Low, Rand Kwong Yew - 2016
other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the …
Persistent link: https://www.econbiz.de/10012989660
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Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
Bartram, Söhnke M. - 2019
Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...
Persistent link: https://www.econbiz.de/10012906259
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Arbitrage and Liquidity : Evidence from a Panel of Exchange Traded Funds
Rappoport, David E. - 2018
Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …
Persistent link: https://www.econbiz.de/10012908322
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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011382070
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011590578
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371