X

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
Type of Material
Type of Publication
Consortium
Language
  • 1
    Online Resource
    Online Resource
    Expected Returns and Liquidity Risk : Does Entrepreneurial Income Matter? (2008)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1836813902
    Format: 1 Online-Ressource (38 p)
    Series Statement: IESE Business School Working Paper No. 749
    Content: This paper studies the effects of jointly incorporating liquidity risk and non-tradeable wealth in a single asset pricing equation. First, I propose an overlapping-generations model with random endowment shocks and liquidity risk, evaluating their joint impact on expected returns. The model presents a single-factor asset pricing equation, with a new term capturing the covariance between assets' liquidities and non-tradeable wealth. In this economy, assets with higher liquidity or returns when non-tradeable wealth is low command lower expected returns. Second, I investigate whether risks associated with liquidity are priced after including non-tradeable wealth due to entrepreneurial income. I test the model on equally weighted and value-weighted portfolios, sorted by illiquidity levels, illiquidity variation and size, using US stock data from January 1962 to December 2004. The extra terms due to entrepreneurial income reduce liquidity risk premium by almost 40%, with an impact of -0.45% per year on expected returns of value-weighted illiquidity-sorted portfolios. Overall, liquidity risk as a whole has a yearly premium equal to 1.06%. However, liquidity levels are much more important and have a premium of 6.14% per year, contributing to most of the explanatory gains of the model
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2008 erstellt
    Language: English
    DOI: 10.2139/ssrn.1264936
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
  • 2
    Article
    Article
    Análise técnica : sorte ou realidad? (2003)
    Show associated volumes
    Details
    UID:
    (DE-627)389181455
    Format: graph. Darst
    ISSN: 0034-7140
    Note: Zsfassung in engl. Sprache
    In: Revista brasileira de economia, Rio de Janeiro : [Verlag nicht ermittelbar], 1947, 57(2003), 4,2, Seite 953-974, 0034-7140
    In: volume:57
    In: year:2003
    In: number:4,2
    In: pages:953-974
    Language: Portuguese
    Keywords: Aufsatz in Zeitschrift
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Article
    GBV
  • 3
    Online Resource
    Online Resource
    Differences of Opinion, Information and the Timing of Trades (2008)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1781434883
    Format: 1 Online-Ressource (51 p)
    Series Statement: IESE Business School Working Paper No. 747
    Content: This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion. For earnings announcements of US firms, I find that a one standard deviation increase in dispersion accelerates trading, reducing the difference between turnover around and before announcements by 8.50%. A similar increase in the PIN delays trading, raising the difference by 8.29%. These results help to explain why a large number of events have high turnover before earnings announcements relative to turnover after their release. Furthermore, the information contained in the time-series difference between trading around and before announcements helps to separate the impact of information asymmetry from the impact of proxies for differences of opinion. I also present a theoretical model in which agents who receive private information of heterogeneous quality trade a stock before and after observing a public signal. This public signal is interpreted differently across agents, leading to differences of opinion. I obtain closed-form solutions for expected aggregate volume and its derivatives with respect to these variables, showing that extending static models of asymmetric information is not enough to match the empirical findings
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2008 erstellt
    Language: Undetermined
    DOI: 10.2139/ssrn.1264941
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
  • 4
    Online Resource
    Online Resource
    Equity lending markets and ownership structure (2009)
    Barcelona : IESE Business School
    Details
    UID:
    (DE-627)618520007
    Format: Online-Ressource (PDF-Datei: 48 S., 407 KB) , graph. Darst.
    Series Statement: Working papers / IESE Business School, University of Navarra 836
    Note: Systemvoraussetzungen: Acrobat Reader.
    Language: English
    Keywords: Arbeitspapier ; Graue Literatur
    URL: Volltext
    URL: Volltext
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Online Access
    GBV
  • 5
    Online Resource
    Online Resource
    Internalizando a internalização de ordens (The Introduction of 'Retail Liquidity Provider' Orders in Brazil : Impact on Market Quality) (2022)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1810354498
    Format: 1 Online-Ressource (51 p)
    Content: Portuguese Abstract: Em agosto de 2019, o mercado financeiro brasileiro de derivativos observou a introdução das ofertas retail liquidity provider (RLP) pela B3. Este artigo tem dois objetivos: (i) descrever os acontecimentos que culminaram na autorização regulatória para que o paradigma de livro de negociação centralizado fosse alterado e (ii) avaliar empiricamente os resultados obtidos em sua adoção, em especial em relação à qualidade do mercado. Nossos resultados nos permitem concluir que a introdução da oferta RLP foi majoritariamente positiva. À exceção de uma redução relativa da profundidade dos mercados (i.e., liquidez de primeiro nível), a oferta RLP levou a um aumento de volume transacionado, número de negócios, ordens e número de investidores. Essas conclusões também são válidas quando analisamos especificamente as ordens dos clientes de alta frequência e dos clientes de varejo, com ordens enviadas diretamente ao livro ou via oferta RLP
    Content: English Abstract: In August 2019, the Brazilian exchange (B3) introduced "retail liquidity provider" orders on dolar and index future contracts. This article has two objectives: (i) to describe the events that culminated in the regulatory change that broke the centralized trading book paradigm and (ii) to empirically evaluate the effects of its adoption on market quality. Our results allow us to conclude that the introduction of the RLP offer was mostly positive. With the exception of a relative reduction in market depth depth (i.e., top-tier liquidity), the RLP offer led to an increase in traded volume, number of trades, orders, the number of investors. These conclusions are also valid when we specifically analyze orders from high frequency customers and retail customers, with orders sent directly to the ledger or via the RLP offer
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 8, 2021 erstellt
    Language: Portuguese
    DOI: 10.2139/ssrn.3986368
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
  • 6
    Article
    Article
    Price efficiency and short selling (2011)
    Show associated volumes
    Details
    UID:
    (DE-627)655842179
    Format: graph. Darst.
    ISSN: 0893-9454
    In: The review of financial studies, Cary, NC : Oxford Univ. Press, 1988, 24(2011), 3 vom: März, Seite 821-852, 0893-9454
    In: volume:24
    In: year:2011
    In: number:3
    In: month:03
    In: pages:821-852
    Language: English
    Keywords: Aufsatz in Zeitschrift
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Article
    GBV
  • 7
    Online Resource
    Online Resource
    Price Efficiency and Short Selling (2011)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1781212988
    Format: 1 Online-Ressource (41 p)
    Content: This article studies how stock price efficiency and the distribution of returns are affected by short-sale constraints. The study is based on a global data set that includes more than 12,600 stocks from 26 countries between 2005 and 2008. Our main findings are as follows. First, lending supply has a significant impact on efficiency. Stocks with higher short-sale constraints, measured by low lending supply, have lower price efficiency. Second, relaxing short-sales constraints is not associated with an increase in either price instability or occurrence of extreme negative returns
    Note: In: AFA 2008 New Orleans Meetings Paper , Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2010 erstellt
    Language: Undetermined
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    BSZ
    GBV
  • 8
    Online Resource
    Online Resource
    Satisfied Employees, Satisfied Investors : How Employee Well-being Impacts Mutual Fund Returns (2023)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1845029860
    Format: 1 Online-Ressource (48 p)
    Content: This paper uses proprietary data on self-reported employee reviews from Glassdoor.com to study the relationship between employee satisfaction and mutual funds’ performance. Using the staggered adoption of Anti-SLAPP (Strategic Lawsuits Against Public Participation) laws in the U.S. and variation from mergers between asset management companies to identify exogenous variation in job satisfaction, we find that employee satisfaction is positively linked to fund performance and size but that only performance-critical employees' satisfaction matters. A one-point increase on the 5-point scale of employee satisfaction leads to a 36bps increase in abnormal fund performance. Finally, while there is a positive effect of employee satisfaction on risk-taking, we cannot establish a causal relationship
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 21, 2023 erstellt
    Language: English
    DOI: 10.2139/ssrn.4338441
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
  • 9
    Online Resource
    Online Resource
    The Big Short : Short Selling Activity and Predictability in House Prices (2016)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1791851371
    Format: 1 Online-Ressource (50 p)
    Series Statement: 46th Annual AREUEA Conference Paper
    Content: We study how investors use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short. Using U.S. data from 2006 to 2013, we find evidence that an increase in the short selling activity of real estate investment trusts (REITs) forecasts a decrease in house prices in the subsequent month. The magnitude and significance of this effect vary with the geographical location of the REITs' underlying properties and with the state of the business cycle
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 28, 2016 erstellt
    Language: English
    DOI: 10.2139/ssrn.1716998
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
  • 10
    Online Resource
    Online Resource
    Deleveraging Risk (2016)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)179184183X
    Format: 1 Online-Ressource (48 p)
    Content: Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of short selling experience large positive returns and a decrease in short selling around periods of funding capital scarcity
    Note: In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming , Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 26, 2016 erstellt
    Language: English
    DOI: 10.2139/ssrn.2180785
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    BSZ
    GBV
Nothing or not found what you are looking for? Please check your search query. For a search / Interlibrary loan from abroad use the search set "KOBV International" in the old KOBV portal.
Close ⊗
This website uses cookies and the analysis tool Matomo. Further information can be found on the KOBV privacy pages