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Measuring the liquidity impact on EMU government bond prices
16 references·1 citing·47 second hop
Measuring the liquidity impact on EMU government bond prices (2006)Measuring the liquidity impact on EMU gov…Liquidity and Credit Risk (2006)Liquidity and Credit RiskComparing possible proxies of corporate bond liquidity (2004)Comparing possible proxies of…Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Optimal Portfolio Choice and …Time and the Price Impact of a Trade (2000)Time and the Price Impact of …An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Special Repo Rates (1996)Special Repo RatesWhat To Do (and Not to Do) with Time-Series Cross-Section Data (1995)What To Do (and Not to Do) wi…Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Bond Returns, Liquidity, and Missing Data (1992)Bond Returns, Liquidity, and …Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Liquidity and Market Structure (1988)Liquidity and Market StructureAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEThe European sovereign debt market: from integration to segmentation (2013)The European sovereign debt m…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)Continuous Auctions and Insider Trading (1985)Impulse response analysis in nonlinear multivariate models (1996)Master curve for price-impact function (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Statistical Inference in Dynamic Economic Models (1950)Analysis of Panel Data (2003)Veto Players. How Political Institutions Work (2003)Modernization, cultural change, and democracy the human development sequence (2005)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Theory of Investment Value, by John Burr Williams (1939)Measuring the Term Structure of Interest Rates (1971)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Limits of Arbitrage (2010)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1995What To Do (and Not to Do) with Time-Series Cross-Section Data6,833 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
  • 1996Special Repo Rates461 cited
  • 2006Liquidity and Credit Risk452 cited
  • 2001Optimal Portfolio Choice and the Valuation of Illiquid Securities320 cited
  • 2004Comparing possible proxies of corporate bond liquidity313 cited
  • 1992Bond Returns, Liquidity, and Missing Data289 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields

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278 cited

Cited by

  • 2013The European sovereign debt market: from integration to segmentation29 cited