Philipp Schuster

Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance

Kaiserstra├če 12

Karlsruhe, Baden W├╝rttemberg 76131

Germany

http://derivate.fbv.kit.edu

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Measuring Liquidity in Bond Markets

Forthcoming in The Review of Financial Studies
Number of pages: 58 Posted: 20 Sep 2013 Last Revised: 30 Jan 2016
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 646 (10,940)

Abstract:

bond liquidity, transaction costs, bid-ask spread, price impact, asset pricing

2.

The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds

Number of pages: 40 Posted: 02 Apr 2012 Last Revised: 21 Feb 2014
Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 358 (57,043)

Abstract:

bond liquidity, term structure of illiquidity premiums, regime-switching, financial crisis, flight-to-liquidity

3.

A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity

Number of pages: 71 Posted: 24 Mar 2013 Last Revised: 02 Apr 2016
University of Mannheim - Finance Area, Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 159 (105,006)

Abstract:

bond liquidity, term structure of liquidity premia, heterogeneous agents, aging effect, trading volume, equilibrium

4.

Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets

Review of Finance, Forthcoming
Number of pages: 69 Posted: 17 Mar 2012 Last Revised: 10 Jun 2016
College of William and Mary - Mason School of Business, College of William and Mary - Mason School of Business and Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance
Downloads 134 (137,583)

Abstract:

agency mortgage-backed securities, corporate bonds, agency debentures, market frictions, market crossing, suitability, market fragmentation, volume imbalance