Tag: Market liquidity
Market greenness predicts liquidity shocks
Market greenness predicts liquidity shocks tied to ESG investor preferences, and ESG-related liquidity better explains stock returns than standard measures during 2015-2019.
Liquidity shocks spill over to related corporate bond peers
Analysis of liquidity spillover in corporate bond markets following rating downgrades, showing contagion through information learning across related securities.
RNN-based distortion models improved CAT bond pricing
Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.
Liquidity-trap spillovers differ sharply across asset-supply shocks
Examine how asset market shocks transmit across borders differently in liquidity traps versus normal times, using a heterogeneous-agent framework with financial frictions.
