A distribution‐based method to gauge market liquidity through scale invariance between investment horizons
Sign Up to like & getrecommendations! Published in 2020 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2531
Abstract: A nonparametric method is developed to detect self-similarity among the rescaled distributions of the log-price variations over a number of time scales. The procedure allows to test the statistical significance of the scaling exponent that… read more here.
Keywords: liquidity; self similarity; market; market liquidity ... See more keywords
Shareholder investment horizons and bank debt financing
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DOI: 10.1016/j.jbankfin.2019.105656
Abstract: Abstract This paper investigates the impact of institutional shareholder investment horizons on a firm's use of bank debt. We find that short-term institutional ownership of the borrowing firm has a negative effect on bank debt… read more here.
Keywords: investment horizons; debt financing; bank debt; debt ... See more keywords
Portfolio Diversification Benefits at Different Investment Horizons During the Arab Uprisings: Turkish Perspectives Based on MGARCH–DCC and Wavelet Approaches
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DOI: 10.1080/1540496x.2017.1362555
Abstract: ABSTRACT This study is an initial attempt at investigating the extent to which portfolio diversification benefits at different investment horizons are available to a Turkish investor from investment in MENA countries exposed to the Arab… read more here.
Keywords: investment; diversification benefits; portfolio diversification; investment horizons ... See more keywords