Noise as Information for Illiquidity

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...

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Veröffentlicht in:	The Journal of finance (New York) 2013-12, Vol.68 (6), p.2341-2382
Hauptverfasser:	HU, GRACE XING, PAN, JUN, WANG, JIANG
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Capital Capital market Cross-sectional analysis Currency transactions Financial market Financial portfolios Hedge funds Information retrieval noise Liquidity Liquidity risk Market prices Money Noise Noise measurement Prices Rates of return Risk Studies Treasury bills Treasury bonds Yield curves
Online-Zugang:	Volltext
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