Il futuro dell'Italia: un punto di vista esterno sull'economia
In: Regole e mercati 5
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In: Regole e mercati 5
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Working paper
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In: Review of Pacific Basin Financial Markets and Policies, Band 22, Heft 3, S. 1950020
ISSN: 1793-6705
This study examines the price effects of investment-grade–corporate bond transactions on the Australian Securities Exchange (ASX). Results indicate that both purchases and sales of exchange traded corporate bonds incur significant transaction costs upon execution. Post execution, purchases of all sizes either experience price continuations, or no significant price reversals, suggesting the presence of information. Sales of all sizes experience complete price reversals, implying that selling corporate bonds conveys no information to the market. These results are consistent with the majority of equity market studies that document a similar asymmetry between purchases and sales. Analysis of the determinants of price effects associated with bond market trades reveals that trade-size, market conditions, underlying stock price volatility, underlying stock turnover, bid–ask spreads (BAS), and market depth are associated with the magnitude of price movements surrounding these trades. Contemporaneous equity returns appear to have no effect on the price impact of corporate bonds.
In: Accounting & Finance, Band 59, S. 593-614
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In: Pacific-Basin Finance Journal Vol. 19(3): 298-307 (2011)
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In: The quarterly review of economics and finance, Band 49, Heft 2, S. 617-632
ISSN: 1062-9769
In: Asia-Pacific Journal of Financial Studies, Band 38(2): 163-186
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In: Frino, A., Xu, C., & Zhou, Z. I. (2022). Are option traders more informed than Twitter users? A PVAR analysis. Journal of Futures Markets, 42(9), 1755-1771.
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In: Studi economici, Heft 111, S. 25-49
ISSN: 1972-4918
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In: Journal of economics and business, Band 57, Heft 6, S. 528-540
ISSN: 0148-6195
In: Accounting, Auditing & Accountability Journal, Vol. 7 issue 6, 2014, pp 1026-1040
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