Results 1 - 10 of 12,600

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

Do Measures of Liquidity Measure Liquidity?*

by Ruslan Y. Goyenko, Craig W. Holden, Charles A. Trzcinka , 2008
"... Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many countr ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
countries. We introduce new liquidity measures. We run horseraces of both monthly and annual liquidity measures. We compare to effective spread, realized spread, and price impact based on both TAQ and Rule 605 data, including the decimals era. We identify the best proxies in each case and find that the new

Trade Liberalization, Exit, and Productivity Improvements: Evidence from Chilean Plants

by Nina Pavcnik - Review of Economic Studies , 2002
"... This paper empirically investigates the effects of liberalized trade on plant productivity in the case of Chile. Chile presents an interesting setting to study this relationship since it underwent a massive trade liberalization that significantly exposed its plants to competition from abroad during ..."
Abstract - Cited by 555 (16 self) - Add to MetaCart
in the estimates of the input coefficients required to construct a productivity measure. I explicitly incorporate plant exit in the estimation to correct for the selection problem induced by liquidated plants. These methodological aspects are important in obtaining a reliable plant-level productivity measure based

Commodity Liquidity Measurement and Transaction Costs

by Ben R. Marshall, Nhut H. Nguyen, Nuttawat Visaltanachoti - Review of Financial Studies , 2011
"... We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack acc ..."
Abstract - Cited by 3 (0 self) - Add to MetaCart
We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
in the corporate bond market is driven by local supply/demand shocks that are independent of both changes in credit-risk and typical measures of liquidity. We note that a similar, but significantly smaller effect has been documented in the mortgage backed (Ginnie Mae) securities market by Boudoukh, Richardson

Pricing Implications of Shared Variance in Liquidity Measures

by Loran Chollete, Randi Næs, Johannes A. Skjeltorp, Norges Bank , 2006
"... This paper constructs fundamental liquidity measures and investigates the pricing im-plications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three orthogonal, market-wide liquidity variables that statistically capture time seri ..."
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This paper constructs fundamental liquidity measures and investigates the pricing im-plications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three orthogonal, market-wide liquidity variables that statistically capture time

Stock Market Liquidity: Measurement and Implications

by M. K. Datar, Cuffe Parade, M. K. Datar, M. K. Datar , 2000
"... The paper focuses on stock market liquidity and its measurement. It discusses relative merits of different measures that have been used for measurement of market liquidity viz. volume / frequency of trading, turnover ratio and impact cost. It also measures changes in stock market liquidity on the ba ..."
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The paper focuses on stock market liquidity and its measurement. It discusses relative merits of different measures that have been used for measurement of market liquidity viz. volume / frequency of trading, turnover ratio and impact cost. It also measures changes in stock market liquidity

Liquidity and leverage

by Tobias Adrian, Hyun Song Shin - Journal of Financial Intermediation , 2010
"... In a nancial system where balance sheets are continuously marked to market, asset price changes show up immediately in changes in net worth, and elicit responses from nancial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is strongly p ..."
Abstract - Cited by 255 (14 self) - Add to MetaCart
procyclical. Such behavior has aggregate consequences. Changes in aggregate balance sheets for intermediaries forecast changes in risk appetite in nancial markets, as measured by the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet

A Market-Based Funding Liquidity Measure

by Zhuo Chen, Andrea Lu, George Gao, Paul Gao, Stefano Giglio, Ruslan Goyenko (discussant, Kathleen Hagerty, Ravi Jagannathan, Robert Korajczyk, Arvind Krishnamurthy, Albert “pete Kyle (discussant, Todd Pulvino, Zhaogang Song, Luke Stein, Avanidhar Subrahmanyam (discussant, Brian Weller , 2013
"... In this paper, we construct a tradable funding liquidity measure from stock re-turns. Using a stylized model, we show that the returns of a beta-neutral portfolio, which exploits investors ’ borrowing constraints (Black (1972)), depend on both the market-wide funding liquidity shock and stocks ’ sen ..."
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In this paper, we construct a tradable funding liquidity measure from stock re-turns. Using a stylized model, we show that the returns of a beta-neutral portfolio, which exploits investors ’ borrowing constraints (Black (1972)), depend on both the market-wide funding liquidity shock and stocks

Development of Tetrapolar Conductivity Cell for Liquid Measurement Application 1

by M. N. Anas, M. N. Ahmad , 2013
"... Abstract: This paper deals with the development of a liquid measuring instrumentation using the popular tetrapolar electrode configuration. The system consists of four-electrode ring shape using Cromium metal plate and a small measurement. The developed instrument is calibrated with the help of prep ..."
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Abstract: This paper deals with the development of a liquid measuring instrumentation using the popular tetrapolar electrode configuration. The system consists of four-electrode ring shape using Cromium metal plate and a small measurement. The developed instrument is calibrated with the help
Results 1 - 10 of 12,600