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Another look at trading costs and short-term reversal profits

de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...

Persistent link: https://www.econbiz.de/10010577945

Financial crises in efficient markets: How fundamentalists fuel volatility

Szafarz, Ariane - In: Journal of Banking & Finance 36 (2012) 1, pp. 105-111

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term...

Persistent link: https://www.econbiz.de/10010582664

Primary market characteristics and secondary market frictions of stocks

Boehme, Rodney; Çolak, Gönül - In: Journal of Financial Markets 15 (2012) 2, pp. 286-327

hot markets, with low offer price, low-reputation underwriters or no VC backing face higher liquidity frictions, higher …

Persistent link: https://www.econbiz.de/10011047532

The Impact of Hedge Funds on Asset Markets

Kruttli, Matthias; Patton, Andrew J.; Ramadorai, Tarun - Duke University, Department of Economics - 2013

While there has been enormous interest in hedge funds from academics, prospective and current investors, and policymakers, rigorous empirical evidence of their impact on asset markets has been difficult to find. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios,...

Persistent link: https://www.econbiz.de/10010834067

The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market

Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115

sample analysis reveals that the increased post-trade transparency following central clearing is associated with an … improvement in liquidity and trading activity. …

Persistent link: https://www.econbiz.de/10010752915

Hedging costs, liquidity, and inventory management: The evidence from option market makers

Wu, Wei-Shao; Liu, Yu-Jane; Lee, Yi-Tsung; Fok, Robert C.W. - In: Journal of Financial Markets 18 (2014) C, pp. 25-48

Hedging the risk of holding undesired inventory is very important for market makers. However, prior studies seldom capture the role of inventory positions in measuring hedging costs. This study measures hedging costs directly using data on inventory positions of market makers in the Taiwan Index...

Persistent link: https://www.econbiz.de/10010753256

Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading

Malinova, Katya; Park, Andreas - University of Toronto, Department of Economics - 2009

the organization of trading has on volume, liquidity, and price efficiency. We find, in particular, that trading volume is … market, except when the level of informed trading is very high. Post-trade market transparency in a hybrid market hampers …

Persistent link: https://www.econbiz.de/10005012905

Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case

Farinha, Jorge; Basílio, Nuno Filipe - Faculdade de Economia, Universidade do Porto - 2006

of liquidity, risk, signaling and ideal price range explanations that could justify the sizeable cumulative abnormal …, however, that liquidity reasons do not seem to be sufficient to explain the observed abnormal returns around the ex-date. A … directed at splitting firm. This confirmed that liquidity increases were indeed one of the main objectives pretended by the …

Persistent link: https://www.econbiz.de/10005059429

The determinants of stock and bond return comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - Nationale Bank van België/Banque national de Belqique (BNB) - 2007

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

Persistent link: https://www.econbiz.de/10005060044

Liquidity at the Oslo Stock Exchange

Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Norges Bank - 2008

We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian … economy for the period 1980 to 2007. We calculate different liquidity measures that captures various dimensions of liquidity … over time and across industry groups. Overall, we find that the liquidity at the OSE has improved over the sample period …

Persistent link: https://www.econbiz.de/10005063100