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ABSTRACT This study provides an empirical examination of derivative instruments used by institutional investors. Our analysis provides a unique insight into the role and benefits of derivative securities in active equity portfolio management. We contribute to the literature by using a database...
ABSTRACT This papers addresses whether observed violations in the liquidity preference hypothesis (LPH) can be explained by the presence of multiple regimes in the term premia. The investigation directly tests the LPH via a series of inequality tests which allow the moments to be conditioned on...
ABSTRACT This paper applies a new methodology for modeling order durations of ultra‐high‐frequency data using copulas. While the class of common Autoregressive Conditional Duration models are characterized by strict parameterizations and high computational burden, the semiparametric copula...
ABSTRACT In this study, we employ order imbalance measures to provide evidence that there is cross‐sectional heterogeneity in investor reactions to seasoned equity offerings (SEOs). The normally positive relation between imbalances and returns disappears for trade number imbalances but remains...
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