Results 131 to 140 of about 24,822 (265)
Journal of Financial Research, EarlyView.Abstract I analyze differences between the core and extended trading sessions in the high‐frequency reaction of equity markets to potential news. Using presidential tweets as unanticipated, potentially market‐stirring events, I find that volatility increases and liquidity deteriorates within fractions of a second after a tweet.
Stefan Scharnowski
wiley +1 more source
Bank Opacity and Safe Asset Moneyness
Journal of Money, Credit and Banking, EarlyView.Abstract A bank is more effective as a supplier of money‐like safe assets when (i) its return on equity (ROE) is relatively lower and (ii) it is relatively more opaque about its balance sheet. A model is presented to support this, emphasizing that safe asset investors focus on the left tail of the collateral value distribution.
SANG RAE KIM
wiley +1 more source
Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic. [PDF]
Int Rev Financ Anal, 2023 Xu L, Xue M, Zhang X, Zhao Y.
europepmc +1 more source
Monetary Policy When Preferences Are Quasi‐Hyperbolic
Journal of Money, Credit and Banking, EarlyView.Abstract We study discretionary monetary policy in an economy where economic agents have quasi‐hyperbolic discounting. We demonstrate that a benevolent central bank is able to keep inflation under control for a wide range of discount factors. If the central bank, however, does not adopt the household's time preferences and tries to discourage early ...
RICHARD DENNIS, OLEG KIRSANOV
wiley +1 more source
Forecasting of Bitcoin Illiquidity Using High-Dimensional and Textual Features
ComputersLiquidity is the ease of converting an asset (physical/digital) into cash or another asset without loss and is shown by the relationship between the time scale and the price scale of an investment.
Faraz Sasani +7 more
doaj +1 more source
Disclosure and liquidity [PDF]
, 2005 The purpose of this paper is to test empirically the relationship between two important concepts: disclosure and liquidity. Using a sample of Spanish quoted firms between 1994 and 2000 we show that the estimation of the relationship between disclosure ...
Espinosa, Mónica +2 more
core +1 more source
Banks of a Feather: The Informational Advantage of Being Alike
Journal of Money, Credit and Banking, EarlyView.Abstract Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks' loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank markets.
PETER BEDNAREK +3 more
wiley +1 more source
Native Market Factors for Pricing Cryptocurrencies
Notas EconómicasThe cryptocurrency market has been growing frantically in number of cryptocurrencies, online exchanges, and market capitalization, which has amplified the need for comprehensive and robust pricing models.
Tomé Lima, Helder Sebastião
doaj +1 more source
Heterogeneity in Imperfect Inflation Expectations: Theory and Evidence from a Novel Survey
Journal of Money, Credit and Banking, EarlyView.Abstract Using survey data from Germany, we study heterogeneity in how households form inflation expectations. We elicit (i) uncertainty in perceptions of current inflation and (ii) how persistent households perceive inflation to be. Combining these with standard survey questions on inflation, we infer laws of motion for expectations at the individual ...
ALISTAIR MACAULAY, JAMES MOBERLY
wiley +1 more source
Asset Pricing with Liquidity Risk [PDF]
This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time.
Lasse Heje Pedersen, Viral V. Acharya
core