Results 121 to 130 of about 24,822 (265)
Endogenous trading and price overreaction
International Review of Economics & FinanceThis paper studies the role of endogenous trading in shaping market efficiency, using tick data from the CSI 300 stock index futures market. We quantify endogenous trading intensity with the branching ratio from a Hawkes process and detect price ...
Liang Wu +3 more
doaj +1 more source
Bank IPOs and Regulations: Cross‐Country Evidence
Financial Review, EarlyView.ABSTRACT The present paper investigates the effect of banking industry regulations on bank initial public offering (IPO) underpricing. We approach this question from both a micro‐level and macro‐level regulatory perspective. First, we conduct our analysis within a micro framework, focusing on the effect of disclosure rules on IPO underpricing.
Maria‐Eleni K. Agoraki +2 more
wiley +1 more source
Liquidity dynamics and risk premia in China's green bond market
International Review of Economics & FinanceThis study investigates the liquidity dynamics and risk premiums in China's green bond market. Unlike previous studies relying on single indicators, a comprehensive illiquidity measure incorporating both liquidity level and liquidity risk dimensions is ...
Zijian Wu +3 more
doaj +1 more source
On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic. [PDF]
J Bank Financ, 2023 Greppmair S, Jank S, Smajlbegovic E.
europepmc +1 more source
How Does Progressivity Affect the Tax Cut Multiplier?
International Economic Review, EarlyView.ABSTRACT How does the targeting of personal income tax cuts affect the output multiplier? This paper provides quantitative evidence using a heterogeneous‐agent New‐Keynesian model calibrated to match US distributions of income, wealth, marginal tax rates, and marginal propensities to consume.
Christian Gillitzer
wiley +1 more source
Bank Distress during the Great Depression: The Illiquidity-Insolvency Debate Revisited [PDF]
During the contraction from 1929 through 1933, the Federal Reserve System tracked changes in the status of all banks operating in the United States and determined the cause of each bank suspension.
Gary Richardson
core
Reduced form modeling of limit order markets [PDF]
, 2010 This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of the order book ...
Malo, Pekka, Pennanen, Teemu
core +2 more sources
Who can see the iceberg's peak? How icebergs are used by information and liquidity traders
Journal of Financial Research, Volume 48, Issue 1, Page 227-265, Spring 2025.Abstract Iceberg orders are partially disclosed limit orders that only reveal a small portion of their hidden volume at any time. Once traded, the iceberg order automatically replenishes until all its hidden volume executes. Consistent with theory, icebergs appeal to both information and liquidity traders. Information traders place orders at aggressive
Paul Lajbcygier, Van Hoang Vu
wiley +1 more source
Market Illiquidity and the Bid-Ask Spread of Derivatives [PDF]
This paper analyzes the impact of illiquidity of a stock on the pricing of derivatives. In particular, it is shown how illiquidity generates a bid-ask spread in an option on this stock, even in the absence of other imperfections, such as transaction ...
Antao, Paula, Matos, Joao Amaro de
core
The pricing of illiquidity and illiquid assets
, 2016 This dissertation studies the pricing of liquidity and illiquid assets. For this thesis, liquidity will generally refer to the ease with which an asset can be traded. The first chapter investigates the role of the investment horizon in the impact of illiquidity on stock prices.
openaire +1 more source