[PDF] Top 20 Essays in Market Structure and Liquidity

... (3), Market cap and Volume are included; and so ...stocks. Market cap is the daily market capitalization in ...shares. Market-wide liquidity is the stock-specific factor score from ... See full document

... years market liquidity, the ease to trade an asset, has played a pivotal role in the events that shaped financial markets, attracting the atten- tion of regulators and ...ket liquidity vanished in a ... See full document

... Our paper also contributes to the recent discussion about mechanism efficiency under aggregate uncertainty. Menkveld (2016) construct a model which endogenize the existence of “arbitrageurs,” who benefits from the ... See full document

... ’pervasive’ market anomalies associated with cor- porate decisions are mainly driven by deals initiated in certain aggregate liquidity ...aggregate liquidity factors, which strongly suggests that ... See full document

... flight market, airlines contract with consolidators (wholesale travel agents) to sell a large number of tickets for ...to market tickets to travelers and the discount offered by the airline is usually ... See full document

... Parlour (1998) to study the dynamics of order ‡ow to crossing networks and the dealer market. In the model, traders are assumed to arrive sequentially and randomly in the marketplace during one of two trading ... See full document

... the liquidity risk puzzle. For instance, our previous analysis of market conditions suggests that investors are not strongly averse to liquidity risk during extreme down ...affects liquidity ... See full document

... In this topic I investigate the strategic interaction between buyers and suppliers when the buyers are able (informed) to report a cartel to the antitrust authority. The cartel antici- pates the threat of being reported ... See full document

... In a model of moral hazard and perfect public monitoring, Klein and Leffler demonstrate that when quality is unobserved before purchase the equilibrium price must be above average cost o[r] ... See full document

... most risky traders. Biais et al. (2012b) consider a model in which insurance buyers may exert effort to screen less risky counter-parties, and they compare bilateral versus centralized clearing in the presence of ... See full document

... two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity ...on liquidity commonality, namely oil price return and ...the ... See full document

... problem, an issue that further complicates the matter is the infrequent trading of bonds. Both aspects complicate the development of measures that relate transaction prices and quotes for bonds. Nevertheless, there have ... See full document

... capital structure (as examples Myers 1977; DeAngelo and Masulis 1980; Bradley, Jarrell et ...capital structure, the practical application of those developments has been far from ...of liquidity of ... See full document

... the market when they have the need ...stock market for the needs of reputation or image [25, 30, ...(stock market authorities, investors, issuers) suggests that the liquidity of the ... See full document

... from market efficiency in the foreign exchange market and from the expectations hypothesis in international bond ...exchange market, liquidity preferences reflected in the term ... See full document

... Since the beginning of the financial crisis in August 2007, the money markets have exhibited an unprecedented behaviour. Interest rates, like for instance swap rates with the same tenor but based on different ... See full document

... Asset liquidity in modern financial markets is a key but elusive ...A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the ... See full document

... Next and motivated by the word-of-mouth and viral marketing, in Section 4.2 my coauthors and I consider a setting in which two firms compete for the consumers located in a social network. Firms have budgets to “seed” the ... See full document

... the structure of the balance sheet in terms of maturity structure and asset and funding ...how market participants react to liquidity regulation, we use event study methodology and exploit ... See full document

... stock market liquidity owing to the fact that poor governance reduces transparency in both financial and operational ...on market liquidity was elaborated by Welker (1995), who related that ... See full document