894 resultados para Liquidity Risks


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Produced in conjunction with: Delivering post adoption services : the role of the public agency, by Kenneth W. Watson.

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Bibliography: p. 96-97.

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Financial review of: Farm Credit Banks, Banks for Cooperatives, Federal Home Loan Banks, National Mortgage Association (Fannie Mae), Federal Home Loan Mortgage Corp. (Freddie Mac), Student Loan Marketing Association (Sallie Mae), College Construction Loan Insurance Corp. (Connie Lee), and Federal Agriculture Mortgage Corp. (Farmer Mac).

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"Updates Technical bulletin no. 602, Relation of cotton prices to prices of futures, contracts, and protection afforded by trading in futures."

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"Done at the Law school of Columbia university, under the auspices of the Columbia university Council for research in the social sciences."-- p. [v]

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"August 1997."

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"FEMA 386-2"--Cover.

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This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.