نتایج جستجو برای: excess liquidity
تعداد نتایج: 81220 فیلتر نتایج به سال:
This paper presents a consumptiun-ba,setl model that explains Ihe equity premitim puzzle through two channels, Hirst, because of borrowing constraints, the sharehokler cannt)t completely diversify his income risk ami requires a sizable risk premium on .stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock reiurn an...
Japan’s prolonged economic problems are due to more than faulty macro-economic policies. We do not deny the importance of bungled macro-economic policy, but argue that deeper maladies in Japanese corporate governance made that country increasingly vulnerable to such problems. We argue that Japan’s main bank and financial keiretsu systems left corporate governance largely in the hands of credito...
We examine 97 stocks that moved from continuous trade back to single daily auctions. The response to exit from continuous trade is almost a mirror image of the entry response documented in Amihud et al., 1997 (Amihud, Y., Mendelson, H., Lauterbach, B., 1997. Journal of Financial Economics 45, 365±390). Upon exiting continuous trade, stock liquidity, price accuracy, and value drop. An exception ...
Liquidity, the ease of trading an asset, strongly varies between di erent sizes of stock positions. We analyze this aspect using the Xetra Liquidity Measure (XLM), which calculates daily, weighted spread for impatient traders transacting against the limit order book. For this measure, we have data for 160 German stocks over 5.5 years, which allows us a representative analysis of the order-size ...
This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume...
The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity We present a new measure of liquidity known as “latent liquidity” and apply it to a unique corporate bond database to discern the characteristics of bonds that lead to higher liquidity. Unlike conventional measures of liquidity, such as trading volume and bid-ask spreads, our measure of liquidity doe...
a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...
During the COVID-19 pandemic, Islamic commercial banks experienced liquidity excess due to third-party funds that increased and weak distribution of financing by banks. In addition, asset quality is showing good development, this will affect bank's ability meet sufficient liquidity. This study uses 7 as a sample from population 14 registered in Financial Services Authority (OJK) March 2012 Dece...
The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity We present a new measure of liquidity known as “latent liquidity” and apply it to a unique corporate bond database to discern the characteristics of bonds that lead to higher liquidity. Unlike conventional measures of liquidity, such as trading volume and bid-ask spreads, our measure of liquidity doe...
Modeling and Control for Foreign Exchange Based on a Continuous Time Stochastic Microstructure Model
On the basis of the market microstructure theory, a continuous time microstructure model is proposed for describing the dynamics of the foreign currency exchange time series with randomness and volatility features. From the microstructure model one may obtain the estimates of two state variables, which represent the market excess demand and liquidity respectively, but can not be directly observ...
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