Liquidity and Optimal Market Transparency

Dumitrescu, Ariadna

doi:10.2139/ssrn.942912

Cited by 4 publications

(1 citation statement)

References 33 publications

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“…Within this approach, we allow for the REITs‐adjusted average discounts attributable to new information (approximated by REIT returns) with regard to changes in expected write‐off potential ( impending NAV impairment ) are explicitly incorporated (see Dumitrescu, ). This means that the impact of changes in economic conditions over time on expected cash flows is modelled as a channel of contagion explaining the discount rate which is not possible by average abnormal discounts (see Haß et al, for a reasoning).…”

Section: Capital Market Reactions To Temporal Suspensions Of Share Rementioning

confidence: 99%

What Drives Contagion in Financial Markets? Liquidity Effects versus Information Spill‐Over

Haß

Koziol

Schweizer

2013

Euro Fin Management

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The objective of this paper is to study how contagion works in financial markets by identifying the mechanisms which drive the spill‐over of shocks from one market to other markets. To address this question we use open‐ended property funds (OPFs) as they offer a unique institutional setting which allows separating between liquidity and information spill‐over. We find that that liquidity risk captures the observed discounts very well when the danger of potential future impairments is low. Once the impending NAV impairments become very likely, also this component matters and attributes for a fraction of the total discount.

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Section: Capital Market Reactions To Temporal Suspensions Of Share Rementioning

confidence: 99%