Results 11 to 20 of about 2,274 (258)
The Determinants of CDS Bid-Ask Spreads [PDF]
SSRN Electronic Journal, 2014 We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads.
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Decomposing the Bid–ask Spread in Multi‐Dealer Markets [PDF]
International Journal of Finance & Economics, 2015 AbstractIn this paper, we modify the Huang and Stoll spread‐decomposing model to fit multi‐dealer markets. In a multi‐dealer market, individual dealers can rebalance their inventories either by trading with other dealers or by changing the quote price. Our modified model captures this feature.
Bleaney, Michael, Li, Zhiyong
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Survival models for the duration of bid-ask spread deviations [PDF]
2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014 Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period ...
Efstathios Panayi, Gareth W. Peters
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The Relationship Between Changes in Capital Structure and Changes in Equity Liquidity [PDF]
پژوهشهای تجربی حسابداری, 2012 Basically,maximizingthewealthofshareholdersandreducing the cost of capital are among financial manager's targets, and the capital structure decision is one of the effective decisions to reach these goals. Also, the impact of equity liquidity on the value
Seyed Ahmad Khalifeh Soltani +1 more
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Consistency of option prices under bid–ask spreads [PDF]
Mathematical Finance, 2019 AbstractGiven a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a bid–ask spread. The main question then is how large (in terms of a deterministic bound) this spread must be
Gerhold, Stefan, Gülüm, Ismail Cetin
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Ownership Dispersion and Stock Liquidity [PDF]
بررسیهای حسابداری و حسابرسی, 2010 Ownership dispersion is an important effective factor in determining bid-ask spread. Bid-ask spread has important role in stock liquidity. Some researches indicate that increasing in ownership dispersion leads to decrease bid-ask spread and therefore ...
Naser Izadinia, Amir Rasaiian
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Measuring information asymmetry surrounding earnings announcements [PDF]
Mathematics and Modeling in FinanceThe primary objective of this research is to measure the information asymmetry before, during, and after earnings announcements and how it relates to the drift in post-earnings announcements over an extended period.
Rexon Nainggolan +2 more
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Jurnal Siasat Bisnis, 2009 The objective of this research is to test the impact of stock return, stock trading volume and variance of stock return toward bid-ask spread. Using sampling of 20 manufacture companies which are united in LQ 45 index during the period of 2003 until 2005.
Sri Dwi Ari Ambarwati
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VARIABEL-VARIABEL PENENTU HOLDING PERIODS SAHAM SYARI’AH DI INDONESIA
El Muhasaba: Jurnal Akuntansi, 2013 This research was aimed to determine whether the variables bid-ask spread, market value, variance return and dividend payout influence holding period partially and simultaneously and to determine the variables that most influence the holding period of ...
Fitriyah Fitriyah, Yayuk Sri Rahayu
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