File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Noise as Information for Illiquidity

TitleNoise as Information for Illiquidity
Authors
Issue Date2013
PublisherWiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0022-1082
Citation
The Journal of Finance, 2013, v. 68 n. 6, p. 2341–2382 How to Cite?
AbstractWe propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise” in U.S. Treasury bonds—the shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to explain cross-sectional returns on hedge funds and currency carry trades, both known to be sensitive to the general liquidity conditions of the market.
Persistent Identifierhttp://hdl.handle.net/10722/217303
ISSN
2015 Impact Factor: 5.105
2015 SCImago Journal Rankings: 14.546

 

DC FieldValueLanguage
dc.contributor.authorHu, GX-
dc.contributor.authorPan, J-
dc.contributor.authorWang, J-
dc.date.accessioned2015-09-18T05:55:28Z-
dc.date.available2015-09-18T05:55:28Z-
dc.date.issued2013-
dc.identifier.citationThe Journal of Finance, 2013, v. 68 n. 6, p. 2341–2382-
dc.identifier.issn0022-1082-
dc.identifier.urihttp://hdl.handle.net/10722/217303-
dc.description.abstractWe propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise” in U.S. Treasury bonds—the shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to explain cross-sectional returns on hedge funds and currency carry trades, both known to be sensitive to the general liquidity conditions of the market.-
dc.languageeng-
dc.publisherWiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0022-1082-
dc.relation.ispartofThe Journal of Finance-
dc.titleNoise as Information for Illiquidity-
dc.typeArticle-
dc.identifier.emailHu, GX: gracexhu@hku.hk-
dc.identifier.authorityHu, GX=rp01554-
dc.identifier.doi10.1111/jofi.12083-
dc.identifier.hkuros250496-
dc.identifier.volume68-
dc.identifier.issue6-
dc.identifier.spage2341-
dc.identifier.epage2382-
dc.publisher.placeUnited States-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats