The theory further predicts that the degree of underreaction, as measured by return predictability, should be more pronounced for firms that receive less investor attention. Alternatively, when a stock is harder to trade, its illiquidity may hamper price discovery, which leads to slow price ...
In this paper we develop a formula for the Liquidity Premium of constant leverage strategies (CLS). These financial products are path dependent options where the underlying typically is a hedge fund portfolio. We describe and explain the functionality of CLSs, showing a closed form expression for...
(2015) find that the liquidity proxies associated with trading costs and price impact dimensions are not robust enough to generate a significant premium. Therefore, different liquidity dimensions can have different pricing abilities. A single liquidity metric does not easily capture these dimensions (...
Modeling the bid/ask spread: measuring the inventory-holding premium The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and ... NPB Bollen,T Smith,RE Whaley - 《Journal of Financial Economics》 被...
We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different assumptions on how liquidity rates enter the CDS premium rate formula, about the dynamics of liquidity rate processes and about the credit-liquidity correlation. Buhler and Trapp (2008) provides ...
banks´ advantage in hedging liquidity risk theory and:银行在对冲流动性风险理论中的优势 热度: 相关推荐 1 流動性風險 (LiquidityRisk) 2 流動性風險 (LiquidityRisk) •流動性風險是一項重要的金融風險。 •流動性風險不易量化,因此BaselCommitteeon BankingSupervision(BCBS)未將流動性風險正式 列入計算...
5.2 Liquidity Premium and Default Premium It has been widely recognized that the credit spread of corporate bonds not only reflects a default premium determined by the firm's credit risk, but also a liquidity premium due to the illiquidity of the secondary debt market, e.g., Longstaff, Mithal...
FinancialstabilityisanotherclassicresponsibilityoftheFed.Financialpanicsarethe resultsofsuddendeclinesinliquidity,andweknowthatFedactionscanpartiallyoffsetliquid- itydeclinesinaneconomyonshortnotice.Isthereanunderlyingeconomictheorythattells ushowthiscanbedone,orbetteryet,howtoarrangematterssothatliquiditydeclinesareless...
开通VIP THEJOURNALOFFINANCE•,NO•.5OCTOBER2006LiquidityandCreditRisk∗,,,-tificationsfortheexistenceofyieldspreadsabovebenchmarkTreasurynotesorbonds(seeFisher(1959)).SinceMerton(1974),,whileconcernaboutmarket2liquidityissueshasbecomeincreasinglymarkedsincetheautumnof1998,liquidityremainsarelativelyunexploredto...
It then derives some implications of corporate liquidity demand for the equity premium puzzle, for the yield curve, and for the state-contingent volatility of asset prices. Finally, the paper looks at some macroeconomic implications of the theory. It shows that government may be able to boost ...