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  1. The overnight drift
    Autor*in: Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions... mehr

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207
    Fernleihe:
    keine Fernleihe

     

    We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241110
    Auflage/Ausgabe: Revised September 2021
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 917 (September 2021)
    Schlagworte: overnight returns; immediacy; inventory risk; volatility risk
    Umfang: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  2. Electronic Literature and Its Influence on Print Stylistics
    The Implied E-Reader: Benefits and Drawbacks of Electronic Literature and What It Means for Traditional Print Stylistics
    Autor*in: Tillewein, Brian
    Erschienen: 2014
    Verlag:  LAP LAMBERT Academic Publishing, Saarbrücken

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  3. Dealer networks
    Autor*in: Li, Dan; Schürhoff, Norman
    Erschienen: 2014
    Verlag:  Swiss Finance Inst., Genève

    Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory audit trail data show the dealer network has a core-periphery structure with 10 to 30 hubs and over 2,000... mehr

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    Verlag (kostenfrei)
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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory audit trail data show the dealer network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow in a chain from periphery to core and partially back. Central dealers charge up to double the roundtrip markups to investors compared to peripheral dealers. In turn, central dealers provide immediacy by matching buyers with sellers more directly and prearranging fewer trades than peripheral dealers, especially during stress times. Investors thus face a tradeoff between execution cost and speed, consistent with network models of decentralized trade

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Research paper series / Swiss Finance Institute ; 14,50
    Schlagworte: Kommunalobligation; OTC-Handel; Spekulation; Institutioneller Investor; Netzwerk; Marktliquidität; USA; Municipal bonds; over-the-counter financial market; trading cost; liquidity; immediacy; transparency; decentralization; market quality; network analysis
    Umfang: Online-Ressource (58, 7 S.), graph. Darst.