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Empirical Essays in Financial Economics

Breckenfelder, Holger-Johannes (författare)
Stockholm School of Economics,Handelshögskolan i Stockholm
 (creator_code:org_t)
ISBN 9789172589254
Stockholm School of Economics, 2014
Engelska.
  • Doktorsavhandling (övrigt vetenskapligt/konstnärligt)
Abstract Ämnesord
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  • Competition between High-Frequency Traders, and Market Quality. This is the first empirical evidence on the competition between high-frequency traders (HFTs) and its influence on market quality. My findings suggests what when HFTs compete for traders their liquidity consumption increases. As a result, liquidity deteriorates significantly and short-term volatility rises. Sovereign Credit Risk and Corporate Borrowing Costs. This paper shows that an increase in sovereign credit risk leads to higher corporate borrowing costs. The results suggest more pronounced effects in countries that belong to the Eurozone, that are more financially distressed and that have weaker property rights. Furthermore, borrowing costs appear to rise at least as much for non-financial companies as for financial companies. Tail Asymmetry and Expected Stock Returns. High-frequency events are a valuable source of statistics on rare events. I show that the difference between the upside tail volatility and downside tail volatility of intraday price dynamics carries a significant fraction of the time-series variation in returns. I term this difference the tail asymmetry risk premium. Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off. Expected returns should not only include rewards for accepting the risk of a potential downside loss, but also discounts for potential upside gains. This paper validates this perception empirically as well as theoretically and shows that conditional asymmetry forecasts equity market returns in the short runs.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

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Breckenfelder, H ...
Om ämnet
SAMHÄLLSVETENSKAP
SAMHÄLLSVETENSKA ...
och Ekonomi och näri ...
och Nationalekonomi
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Handelshögskolan i Stockholm

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