Financial Restatements, Information Asymmetry, and Market Liquidity
نویسندگان
چکیده
منابع مشابه
Liquidity and Financial Market Runs
We model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price—in which case the risk-averse market-making sector will already hold a lot of share inventory and thus be more reluctant to absorb additional s...
متن کاملMarket Makers’ S Upply and Pricing of Financial Market Liquidity
The bid /ask spread (inverse of liquidity) in turbulent financial markets—modeled theoretically—adjusts to market-makers’ average costs. Market liquidity declines (spread increases) with increasing absolute value of market-makers’ security inventories and volatility of security price and order flow. 2002 Elsevier Science B.V. All rights reserved.
متن کاملFunding Liquidity and Market Liquidity
Recent empirical studies have shown an increasing co-movement between fund and market liquidity, which is driven by common factors such as monetary shocks. Modeling this comovement becomes desirable to evaluate policies relating to liquidity and financial instability. This paper establishes a monetary model with capital to explain the dynamic interactions between funding and market liquidity in...
متن کاملMarket liquidity risk factor and financial market anomalies: Evidence from the Chinese stock market
Article history: Received 16 May 2009 Accepted 29 July 2010 Available online 6 August 2010 The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial market anomalie...
متن کاملMarket Liquidity and Funding Liquidity
We provide a model that links a security’s market liquidity — i.e., the ease of trading it — and traders’ funding liquidity — i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding, that is, their capital and the margins charged by their financiers. In times of crisis, reductions in market liquidity and funding liquidity are mutua...
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ژورنال
عنوان ژورنال: Accounting and Finance Research
سال: 2014
ISSN: 1927-5994,1927-5986
DOI: 10.5430/afr.v3n3p71