File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1111/jofi.12083
- Scopus: eid_2-s2.0-84887564657
- WOS: WOS:000326962800004
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Noise as Information for Illiquidity
Title | Noise as Information for Illiquidity |
---|---|
Authors | |
Issue Date | 2013 |
Publisher | Wiley-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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/217303 |
ISSN | 2023 Impact Factor: 7.6 2023 SCImago Journal Rankings: 19.139 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hu, GX | - |
dc.contributor.author | Pan, J | - |
dc.contributor.author | Wang, J | - |
dc.date.accessioned | 2015-09-18T05:55:28Z | - |
dc.date.available | 2015-09-18T05:55:28Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | The Journal of Finance, 2013, v. 68 n. 6, p. 2341–2382 | - |
dc.identifier.issn | 0022-1082 | - |
dc.identifier.uri | http://hdl.handle.net/10722/217303 | - |
dc.description.abstract | We 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.language | eng | - |
dc.publisher | Wiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0022-1082 | - |
dc.relation.ispartof | The Journal of Finance | - |
dc.title | Noise as Information for Illiquidity | - |
dc.type | Article | - |
dc.identifier.email | Hu, GX: gracexhu@hku.hk | - |
dc.identifier.authority | Hu, GX=rp01554 | - |
dc.identifier.doi | 10.1111/jofi.12083 | - |
dc.identifier.scopus | eid_2-s2.0-84887564657 | - |
dc.identifier.hkuros | 250496 | - |
dc.identifier.volume | 68 | - |
dc.identifier.issue | 6 | - |
dc.identifier.spage | 2341 | - |
dc.identifier.epage | 2382 | - |
dc.identifier.isi | WOS:000326962800004 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0022-1082 | - |