We use data on actual holding periods for all investors in a stock market over a10-year period to investigate the links between holding periods, liquidity, and assetreturns. Microstructure measures of liquidity are shown to be important determinantsof the holding period decision of individual...

The paper presents a comprehensive data set of all bonds issued by the sixteenGerman states (Länder) since 1992. It thus provides a complete picture of acapital market comparable in size to funds raised in the German fixed incomemarket for corporations. The quantitative analysis reveals that...

Der Neue Markt soll wachstumsorientierten Unternehmen den Zugang zur Börse eröffnen. Diefür dieses Marktsegment neu geschaffene Institution des Betreuers soll Vorbildcharakter fürandere Marktsegmente haben. In der vorliegenden Arbeit werden Vor- und Nachteile desBetreuer-Konzeptes...

An vielen Börsen sind heute elektronische Handelssysteme im Einsatz, die nach dem Auktionsprinzip funktionieren. Limitierte Aufträge werden dabei in einem Orderbuch zusammengefaßt, das von den Handelsteilnehmern eingesehen werden kann. In vielen Handelssystemen (darunter Xetra) werden dabei...

Basierend auf einem strukturellen Modell analysieren die Autoren das Bedeutung informierten Handels (adverse Selektionseffekte) und dessen Auswirkung auf die Liquiditätsqualität in Xetra, dem elektronischen Handelssystem der Deutschen Börse . Die ökonometrische Analyse basiert auf einem...

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic...

What are liquidity crises? And what can be done to address them? This short paper brings together some personal reflections on this issue, largely based on previous work. In the process, it questions a number of commonly held beliefs that have become part of the conventional wisdom. The paper is...

The trading of securities on multiple markets raises the question of each market’s sharein the discovery of the informationally efficient price. We exploit salient distributionalfeatures of multivariate financial price processes to uniquely determine these contributions.Thereby we resolve the...

The unfolding financial turmoil in mature economies has prompted the official and private sectors to reconsider policies, business models and risk management practices. Regardless of its future evolution, it already threatens to become one of the defining economic moments of the 21st century....

A recent innovation in equity markets is the introduction of market maker ser-vices paid for by the listed companies themselves. We investigate why firms arewilling to pay a cost to improve the secondary market liquidity of their shares. Weshow that a contributing factor in this decision is the...