| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16468 |
| 来源ID | Working Paper 16468 |
| Noise as Information for Illiquidity | |
| Xing Hu; Jun Pan; Jiang Wang | |
| 发表日期 | 2010-10-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount of arbitrage capital in the market and the potential impact on price deviations in US Treasurys. When arbitrage capital is abundant, we expect the arbitrage forces to smooth out the Treasury yield curve and keep the dispersion low. During market crises, the shortage of arbitrage capital leaves the yields to move more freely relative to the curve, resulting in more "noise.'' As such, noise in the Treasury market can be informative and we expect this information about liquidity to reflect the broad market conditions because of the central importance of the Treasury market and its low intrinsic noise -- high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of different origins and magnitudes and is also related to other known liquidity proxies. Moreover, using it as a priced risk factor helps explain cross-sectional returns on hedge funds and currency carry trades, both known to be sensitive to the general liquidity conditions of the market. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w16468 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574142 |
| 推荐引用方式 GB/T 7714 | Xing Hu,Jun Pan,Jiang Wang. Noise as Information for Illiquidity. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16468.pdf（296KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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