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Noise as Information for Illiquidity

Citations

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Cited by:

  1. Wang, Baolian, 2019. "The cash conversion cycle spread," Journal of Financial Economics, Elsevier, vol. 133(2), pages 472-497.
  2. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
  3. Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
  4. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  5. Zhang, Bing & Chen, Wei & Yeh, Chung-Ying, 2021. "Turnover premia in China's stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  6. Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
  7. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
  8. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
  9. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Corporate Bond Market Distress," Staff Reports 957, Federal Reserve Bank of New York.
  10. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  11. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
  12. Karahan, Cenk C. & Soykök, Emre, 2023. "On illiquidity of an emerging sovereign bond market," Economic Systems, Elsevier, vol. 47(2).
  13. Christensen, Jens H. E. & Mirkov, Nikola & Zhang, Xin, 2024. "Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia," Working Paper Series 440, Sveriges Riksbank (Central Bank of Sweden).
  14. Constantinides, George M. & Lian, Lei, 2021. "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
  15. Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019. "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series 2019-08, Federal Reserve Bank of San Francisco.
  16. Paymon Khorrami & Alexander K. Zentefis, 2020. "Arbitrage and Beliefs," CESifo Working Paper Series 8490, CESifo.
  17. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
  18. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
  19. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
  20. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
  21. Lafuente, Juan Ángel & Petit, Nuria & Serrano, Pedro, 2018. "Forecasting multiple-term structures from interbank rates," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 40-56.
  22. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
  23. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  24. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  25. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
  26. repec:hal:spmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
  27. David O. Lucca & Jonathan H. Wright, 2024. "The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under," Journal of Finance, American Finance Association, vol. 79(2), pages 1055-1085, April.
  28. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
  29. Friewald, Nils & Nagler, Florian, 2024. "Dealer inventory and the cross-section of corporate bond returns," Economics Letters, Elsevier, vol. 239(C).
  30. González-Urteaga, Ana & Rubio, Gonzalo, 2021. "The quality premium with leverage and liquidity constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
  31. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  32. Chari, Anusha & Garcés, Felipe & Martínez, Juan Francisco & Valenzuela, Patricio, 2024. "Sovereign credit spreads, banking fragility, and global factors," Journal of Financial Stability, Elsevier, vol. 72(C).
  33. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
  34. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
  35. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  36. Seifoddini , Jalal & Rahnamay Roodposhti , Fraydoon & Nikoomaram , Hashem, 2015. "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(4), pages 29-50, October.
  37. Beauregard, Remy & Christensen, Jens H.E. & Fischer, Eric & Zhu, Simon, 2024. "Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico," Journal of International Economics, Elsevier, vol. 151(C).
  38. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
  39. Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
  40. Dan Richards & Heng Yuan & Marcelo Bianconi, 2015. "Equity Prices and Cartel Activity," Discussion Papers Series, Department of Economics, Tufts University 0813, Department of Economics, Tufts University.
  41. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2020. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," Empirical Economics, Springer, vol. 59(3), pages 1189-1211, September.
  42. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
  43. Griffin, Paul A. & Lont, David H., 2018. "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, vol. 14(2), pages 179-196.
  44. Arakelyan, Armen & Rubio, Gonzalo & Serrano, Pedro, 2015. "The reward for trading illiquid maturities in credit default swap markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 376-389.
  45. Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
  46. Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017. "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers 1202, Board of Governors of the Federal Reserve System (U.S.).
  47. Boudiaf, Ismael Alexander & Scheicher, Martin & Frieden, Immo, 2024. "The market liquidity of interest rate swaps," ESRB Working Paper Series 147, European Systemic Risk Board.
  48. Kinateder, Harald & Hofstetter, Benedikt & Wagner, Niklas, 2017. "Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?," Finance Research Letters, Elsevier, vol. 21(C), pages 144-150.
  49. Sinclair, Andrew J., 2023. "Do prime brokers intermediate capital?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  50. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
  51. Niepmann, Friederike & Schmidt-Eisenlohr, Tim, 2023. "Institutional investors, the dollar, and U.S. credit conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 198-220.
  52. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
  53. repec:spo:wpmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
  54. Christensen, Jens H. E. & Zhang, Xin, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 434, Sveriges Riksbank (Central Bank of Sweden).
  55. Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2020. "Alternative futures for Government of Canada debt management," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(4), pages 659-685, January.
  56. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
  57. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
  58. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
  59. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  60. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
  61. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series 2012-06, Board of Governors of the Federal Reserve System (U.S.).
  62. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
  63. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
  64. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
  65. Nicola Fusari & Wei Li & Haoyang Liu & Zhaogang Song, 2020. "Asset Pricing with Cohort-Based Trading in MBS Markets," Staff Reports 931, Federal Reserve Bank of New York.
  66. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
  67. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
  68. Ethan Struby & Michael F. Connolly, 2023. "Treasury Buybacks, the Fed's Portfolio, and Local Supply," Working Papers 2023-02, Carleton College, Department of Economics.
  69. Hattori, Takahiro, 2022. "Information content and market liquidity in the fixed income market: Evidence from the swaption market," Finance Research Letters, Elsevier, vol. 45(C).
  70. Lara, José Luis & López-Gallo, Fabrizio & Lord, Stefano & Romero, Alberto, 2021. "Effects of the international regulatory reforms over market liquidity of Mexican sovereign debt," Journal of Financial Stability, Elsevier, vol. 52(C).
  71. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
  72. Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
  73. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
  74. Nagar, Venky & Schoenfeld, Jordan & Wellman, Laura, 2019. "The effect of economic policy uncertainty on investor information asymmetry and management disclosures," Journal of Accounting and Economics, Elsevier, vol. 67(1), pages 36-57.
  75. repec:hal:spmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn is not listed on IDEAS
  76. Paul Hubert, 2017. "Central Bank Information and the effects of Monetary shocks," Documents de Travail de l'OFCE 2017-19, Observatoire Francais des Conjonctures Economiques (OFCE).
  77. Bessler, Wolfgang & Kurmann, Philipp & Nohel, Tom, 2015. "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 45-68.
  78. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  79. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
  80. Ewa Dziwok & Marta A. Karaś, 2021. "Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets," Risks, MDPI, vol. 9(7), pages 1-29, July.
  81. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016. "Mortgage Risk and the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1220-1253.
  82. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.
  83. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  84. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.
  85. Chan, Ka Kei & Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2023. "Price convergence between credit default swap and put option: New evidence," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 188-213.
  86. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
  87. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2023. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," Journal of Finance, American Finance Association, vol. 78(1), pages 301-345, February.
  88. Muhammad Zubair Mumtaz & Zachary Alexander Smith, 2018. "IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(2), pages 165-199, April.
  89. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
  90. Don H. Kim & Marcel A. Priebsch, 2020. "Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?," Finance and Economics Discussion Series 2020-061, Board of Governors of the Federal Reserve System (U.S.).
  91. Yeh, Chung-Ying & Yeh, Shih-Kuo & Chen, Ren-Raw, 2014. "Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 297-309.
  92. Bao, Jack & O’Hara, Maureen & (Alex) Zhou, Xing, 2018. "The Volcker Rule and corporate bond market making in times of stress," Journal of Financial Economics, Elsevier, vol. 130(1), pages 95-113.
  93. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  94. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
  95. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
  96. Calice, Giovanni & Lin, Ming-Tsung, 2021. "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 294-322.
  97. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.
  98. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
  99. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
  100. Greppmair, Stefan & Jank, Stephan, 2023. "Collateral scarcity and market functioning: Insights from the eurosystem securities lending facilities," Discussion Papers 31/2023, Deutsche Bundesbank.
  101. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
  102. Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.
  103. Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.
  104. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-intermediated arbitrage," Staff Reports 858, Federal Reserve Bank of New York.
  105. Sirio Aramonte & Chiara Scotti & Ilknur Zer, 2020. "Measuring the Liquidity Profile of Mutual Funds," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 143-178, October.
  106. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
  107. Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
  108. Nick Guest & S. P. Kothari & Eric So, 2023. "Flight to Earnings: The Role of Earnings in Periods of Capital Scarcity," Management Science, INFORMS, vol. 69(8), pages 4908-4931, August.
  109. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
  110. Xiong, Shi & Chen, Weidong, 2022. "A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market," Energy Economics, Elsevier, vol. 109(C).
  111. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).
  112. Lafuente, Juan Angel & Serrano, Pedro, 2015. "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
  113. repec:spo:wpmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn is not listed on IDEAS
  114. Asis, Gonzalo & Chari, Anusha & Haas, Adam, 2021. "In search of distress risk in emerging markets," Journal of International Economics, Elsevier, vol. 131(C).
  115. Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
  116. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  117. Jianfeng Hu, 2020. "Is the synthetic stock price really lower than actual price?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1809-1824, December.
  118. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
  119. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
  120. Michael E. Cahill & Stefania D'Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series 2013-35, Board of Governors of the Federal Reserve System (U.S.).
  121. Andrew Ang & Dimitris Papanikolaou & Mark M. Westerfield, 2014. "Portfolio Choice with Illiquid Assets," Management Science, INFORMS, vol. 60(11), pages 2737-2761, November.
  122. Hattori, Takahiro, 2021. "Noise as a liquidity measure: Evidence from the JGB market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  123. Liu, Xin, 2021. "Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 1-11.
  124. repec:spo:wpmain:info:hdl:2441/1mtnt18l7t904biebogfm7hcao is not listed on IDEAS
  125. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
  126. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
  127. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
  128. David Musto & Greg Nini & Krista Schwarz, 2018. "Notes on Bonds: Illiquidity Feedback During the Financial Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2983-3018.
  129. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
  130. Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
  131. Christian Walkshäusl & Florian Weißofner & Ulrich Wessels, 2019. "Separating momentum from reversal in international stock markets," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 111-123, March.
  132. Ricardo Lagos & Shengxing Zhang, 2019. "A Monetary Model of Bilateral Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 205-227, July.
  133. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Documents de Travail de l'OFCE 2016-02, Observatoire Francais des Conjonctures Economiques (OFCE).
  134. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
  135. Gredil, Oleg R. & Kapadia, Nishad & Lee, Jung Hoon, 2022. "On the information content of credit ratings and market-based measures of default risk," Journal of Financial Economics, Elsevier, vol. 146(1), pages 172-204.
  136. Paritosh Chandra Sinha, 2024. "Noise of Investors’ Attention Mania in the Twenty-first-Century Indian Stock Markets: ARDL and Augmented GARCH-X Models," Global Business Review, International Management Institute, vol. 25(5), pages 1171-1221, October.
  137. Davide E Avino & Enrique Salvador, 2024. "Contingent Claims and Hedging of Credit Risk with Equity Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 310-348.
  138. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
  139. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
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