Results 161 to 170 of about 24,822 (265)
Does institutional quality moderate the relationship between corporate governance and stock liquidity? Evidence from the emerging market of Pakistan. [PDF]
Front Psychol, 2022 Ali S +4 more
europepmc +1 more source
Uninformative news, limited attention and institutional investors
Journal of Risk and Insurance, EarlyView.Abstract Using the universe of transaction‐level data in the U.S. corporate bond market around uninformative downgrades, we find an abnormal increase in trading volume, abnormal bond returns, and a subsequent reversal. On the contrary, we do not find a reversal for abnormal bond returns associated with informative rating actions.
Maria Efthymiou +2 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
Asymmetric Information and Market Collapse [PDF]
In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor.
Paresh Kumar Narayan, Xinwei Zheng
core
Stock Market Liquidity During Crisis Periods: Australian Evidence
, 2023 Smales LA.
europepmc +1 more source
From Opportunity to Constraint: Structural Inequities in Public Pension Fund Investing
Public Budgeting &Finance, EarlyView.Abstract This study examines how structural features shape participation in private equity across U.S. state and local public pension systems. Using panel data from the Boston College Public Plans Database the analysis introduces the concept of structural asymmetries to explain persistent differences in access to illiquid investment strategies ...
Odd J. Stalebrink
wiley +1 more source
Portfolio choice and the effects of liquidity [PDF]
This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk ...
Ana González, Gonzalo Rubio
core
Understanding expectations formation for hand‐to‐mouth households: lessons from the financial crisis
The Scandinavian Journal of Economics, EarlyView.Abstract We study how poor hand‐to‐mouth and wealthy hand‐to‐mouth households in the United States form their expectations as compared to unconstrained households. To do so, we use monthly household data for the period 2005:2 to 2013:6 with information on the exact survey day for each household within a month.
Tufan Ekici +2 more
wiley +1 more source
The case for TIPS: an examination of the costs and benefits [PDF]
Slightly more than a decade has passed since the introduction of the Treasury Inflation-Protected Securities (TIPS) program, through which the U.S. Treasury Department issues inflation-indexed debt.
Jennifer Roush +2 more
core +1 more source