References of "Journal of Empirical Finance"
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See detailAre Capital Requirements on Small Business Loans Flawed?
Wolff, Christian UL

in Journal of Empirical Finance (in press)

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See detailHow some bankers made a million by trading just two securities?
Rinne, Kalle UL; Suominen, Matti UL

in Journal of Empirical Finance (in press)

We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for ... [more ▼]

We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for transaction costs. The strategy also generates positive alpha when controlling for the standard risk factors. Second, using transaction level data from Finland, focusing on a popular pair, we provide evidence that these kinds of pair trading returns are compensation from providing liquidity. On the days when the expected returns to our pair trading strategy are the highest, the trading volume is abnormally high and, judging from active brokers’ net trades, nearly 45% of all brokers (or their customers) engage in pair trading in accordance with our trading strategy. These brokers are mainly counterparties to few brokers that trade large quantities of stocks inconsistent with our strategy. [less ▲]

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten UL; Bams, D.; Blanchard, G. et al

in Journal of Empirical Finance (2017), 44(-), 270-285

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See detailThe Search for Yield: Implications to Alternative Investments
Lehnert, Thorsten UL; Kräussl, Roman UL; Rinne, Kalle UL

in Journal of Empirical Finance (2017), 44(-), 227-236

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See detailThe evolving beta-liquidity relationship of hedge funds
Stefanova, Denitsa UL; Siegmann, Arjen

in Journal of Empirical Finance (2017), 44

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market ... [more ▼]

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market exposure and aggregate stock market liquidity. Employing an optimal changepoint approach, we find that equity-oriented hedge funds display a significant shift in liquidity-timing behavior after the major market microstructure changes in the year 2000. The shift is from a negative relation between market beta and liquidity towards a positive relation. We rule out a mechanistic explanation of the results by computing the returns to several familiar risk arbitrage strategies, finding in them no evidence of a similar shift in liquidity timing. [less ▲]

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See detailEuro Crash Risk
Lehnert, Thorsten UL; Kräussl, Roman UL; Senulyte, Sigita

in Journal of Empirical Finance (2016), 38

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See detailThe European Sovereign Debt Crisis: What Have We Learned?
Kräussl, Roman UL; Lehnert, Thorsten UL; Stefanova, Denitsa UL

in Journal of Empirical Finance (2016), 38(-), 363-373

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry ... [more ▼]

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals to anticipate the buildup of crises. It concludes with a discussion of potential implications of sovereign distress for financial markets. [less ▲]

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See detailIs there a Bubble in the Art Market?
Kräussl, Roman UL; Lehnert, Thorsten UL; MARTELIN, N.

in Journal of Empirical Finance (2016), 35(-), 99-109

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See detailMacroeconomic determinants of European stock and bond correlations: A tale of two regions.
Perego, Erica UL; Vermeulen, Wessel UL

in Journal of Empirical Finance (2016)

This paper presents an analysis of Euro-zone financial markets based on a joint assessment of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The quarterly component of ... [more ▼]

This paper presents an analysis of Euro-zone financial markets based on a joint assessment of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The quarterly component of dynamic correlations indicates the divergence of integration in Europe and highlights the heterogeneity in these markets. Panel regressions on these dynamic correlations, controlling for unobserved heterogeneity, offer new insights into the role of macro-economic determinants of financial markets between assets and regions. This combined analysis of markets provides evidence on the importance of macro-economic factors such as inflation, uncertainty, debt, current account and economic growth in European financial integration. These factors may be overlooked when analysing a single market for individual pairs of countries. As a result we find that the robust role of economic fundamentals in European financial market correlations points to the need for European economic integration based on sound macro-economic fundamentals for both current and future Euro-zone members. [less ▲]

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See detailEuro Crash Risk
Lehnert, Thorsten UL; Kräussl, Roman UL; Senulyte, Sigita

in Journal of Empirical Finance (2016), 38(-), 417-428

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See detailMarket Sentiment in Commodity Futures Returns
Gao, Lin UL; Süss, Stephan

in Journal of Empirical Finance (2015)

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See detailA Framework for Tracking Changes in the Intensity of Investment Funds’ Systemic Risk
Jin, Xisong UL; Nadal de Simone, Francisco

in Journal of Empirical Finance (2014), 29

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate ... [more ▼]

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM). The framework models investment funds’ distress dependence explicitly and captures the time-varying non-linearities and feedback effects typical of financial markets. It measures investment funds systemic credit risk in three forms: (1) credit risk common to all funds within each of the seven categories the Eurosystem reports to the ECB; (2) credit risk in each category of investment fund conditional on distress on another category of investment fund and; (3) the buildup of investment funds’ vulnerabilities over time which may unravel disorderly. In addition, the estimates of the common components of the investment funds’ distress measures contain early warning features, and the identification of their drivers is useful for macroprudential policy. As a result, this framework contributes to making macroprudential policy operational [less ▲]

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See detailThe informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
Rose, Annica UL

in Journal of Empirical Finance (2014), 28

This paper investigates the informational effect of trading and market segmentation on the Australian Securities Exchange (ASX) paying particular attention to the recent phenomenon: fleeting orders.1 ... [more ▼]

This paper investigates the informational effect of trading and market segmentation on the Australian Securities Exchange (ASX) paying particular attention to the recent phenomenon: fleeting orders.1 Confirming theoretical predictions, this study finds that permanent price effect (PPE) is significantly greater in the central limit order book (LOB) than in the upstairs market and that less informed institutional trades are routed to the upstairs market. It also finds that a well functioning upstairs market often results in lower transaction cost, higher volatility and larger trade size on the ASX. In the context of fleeting orders specifically, it finds the informational effect and market quality impact of upstairs market to be weaker after removing fleeting orders, which subsequently leads to the conclusion that recently introduced execution algorithms, which leave a trace of fleeting orders, often result in lower PPE and are mostly used my uninformed liquidity traders. [less ▲]

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See detailEquity Order Flow and Exchange Rate Dynamics
Ferreira Filipe, Sara UL

in Journal of Empirical Finance (2012)

Detailed reference viewed: 66 (3 UL)
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See detailModeling Structural Changes in the Volatility Process
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, R.

in Journal of Empirical Finance (2011)

Detailed reference viewed: 40 (0 UL)