Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Albert J. Menkveld"'
Autor:
Alexandra Sarafoglou, Suzanne Hoogeveen, Don van den Bergh, Balazs Aczel, Casper J. Albers, Tim Althoff, Rotem Botvinik-Nezer, Niko A. Busch, Andrea M. Cataldo, Berna Devezer, Noah N. N. van Dongen, Anna Dreber, Eiko I. Fried, Rink Hoekstra, Sabine Hoffman, Felix Holzmeister, Jürgen Huber, Nick Huntington-Klein, John Ioannidis, Magnus Johannesson, Michael Kirchler, Eric Loken, Jan-Francois Mangin, Dora Matzke, Albert J. Menkveld, Gustav Nilsonne, Don van Ravenzwaaij, Martin Schweinsberg, Hannah Schulz-Kuempel, David R. Shanks, Daniel J. Simons, Barbara A. Spellman, Andrea H. Stoevenbelt, Barnabas Szaszi, Darinka Trübutschek, Francis Tuerlinckx, Eric L. Uhlmann, Wolf Vanpaemel, Jelte Wicherts, Eric-Jan Wagenmakers
Publikováno v:
Royal Society Open Science, Vol 11, Iss 7 (2024)
Many-analysts studies explore how well an empirical claim withstands plausible alternative analyses of the same dataset by multiple, independent analysis teams. Conclusions from these studies typically rely on a single outcome metric (e.g. effect siz
Externí odkaz:
https://doaj.org/article/d7509320d3184de2a8da81f393878f6a
Autor:
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, Utz Weitzel, Hasse, Jean-Baptiste
Publikováno v:
The Journal of Finance, (2023)
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence- generating proc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1493::c41f4b8169b585f3eb7681abee167f1d
https://hdl.handle.net/2078.1/273312
https://hdl.handle.net/2078.1/273312
Autor:
Björn Hagströmer, Albert J. Menkveld
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d99fc6e46cbe6391c37e24057e3dc39
https://doi.org/10.2139/ssrn.4356262
https://doi.org/10.2139/ssrn.4356262
Publikováno v:
Hendershott, T, Menkveld, A J, Praz, R & Seasholes, M 2022, ' Asset Price Dynamics with Limited Attention ', Review of Financial Studies, vol. 35, no. 2, pp. 962-1008 . https://doi.org/10.1093/rfs/hhab045
Review of Financial Studies, 35(2), 962-1008. Oxford University Press
Review of Financial Studies, 35(2), 962-1008. Oxford University Press
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Duffie (2010) slow-moving capital model to analyze multiple
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61ca10b6275363d69432ba71fcd24383
https://doi.org/10.1093/rfs/hhab045
https://doi.org/10.1093/rfs/hhab045
Autor:
Boyan Jovanovic, Albert J. Menkveld
Publikováno v:
Journal of Political Economy, 130(2), 426-461. University of Chicago
Jovanovic, B & Menkveld, A J 2022, ' Equilibrium bid-price dispersion ', Journal of Political Economy, vol. 130, no. 2, pp. 426-461 . https://doi.org/10.1086/717454
Jovanovic, B & Menkveld, A J 2022, ' Equilibrium bid-price dispersion ', Journal of Political Economy, vol. 130, no. 2, pp. 426-461 . https://doi.org/10.1086/717454
If bidding in a pure common-value auction is costly and bidders do not know how many others are also bidding, all equilibria are in mixed strategies. Participation is probabilistic, and bid prices are dispersed. The symmetric equilibrium is unique an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a6228ee9677d37815ee37c6e8946e9c
https://research.vu.nl/en/publications/46541287-9274-4dd1-8cb5-595c46f3c17d
https://research.vu.nl/en/publications/46541287-9274-4dd1-8cb5-595c46f3c17d
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07ebb5430a97e3aa31ce08434559263e
https://doi.org/10.2139/ssrn.4106520
https://doi.org/10.2139/ssrn.4106520
Publikováno v:
Menkveld, A J & Vuillemey, G 2021, ' The Economics of Central Clearing ', Annual Review of Financial Economics, vol. 13, pp. 153-178 . https://doi.org/10.1146/annurev-financial-100520-100321
Central clearing counterparties (CCPs) have a variety of economic rationales. The Great Recession of 2007–2009 led regulators to mandate CCPs for most interest-rate and credit derivatives, markets in which large amounts of risks are transferred acr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cbbe1beeae0df7ddb712c2d67d7e2d88
https://hdl.handle.net/1871.1/e80801b4-c011-4d60-a839-0844677907a9
https://hdl.handle.net/1871.1/e80801b4-c011-4d60-a839-0844677907a9
Publikováno v:
Management Science, 67(6), 3596-3617. INFORMS Inst.for Operations Res.and the Management Sciences
Huang, W, Menkveld, A J & Yu, S 2021, ' Central counterparty exposure in stressed markets ', Management Science, vol. 67, no. 6, pp. 3596-3617 . https://doi.org/10.1287/mnsc.2020.3601
Huang, W, Menkveld, A J & Yu, S 2021, ' Central counterparty exposure in stressed markets ', Management Science, vol. 67, no. 6, pp. 3596-3617 . https://doi.org/10.1287/mnsc.2020.3601
Time is valuable, particularly in stressed markets. Because central counterparties (CCPs) have become systemically important, we need to understand the dynamics of their exposure toward clearing members at high frequencies. We track such exposure and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::438d19c5bfe0b79f1fc25e5cef7ab588
https://research.vu.nl/en/publications/7164f01b-b0ab-4c4b-af11-907d5d7bacdc
https://research.vu.nl/en/publications/7164f01b-b0ab-4c4b-af11-907d5d7bacdc
Autor:
Björn Hagströmer, Albert J. Menkveld
Publikováno v:
Hagströmer, B & Menkveld, A J 2019, ' Information Revelation in Decentralized Markets ', Journal of Finance, vol. 74, no. 6, pp. 2751-2787 . https://doi.org/10.1111/jofi.12838
Journal of Finance, 74(6), 2751-2787. Wiley-Blackwell
Journal of Finance, 74(6), 2751-2787. Wiley-Blackwell
How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an empirical map of information revelation where two dealers are connected based on the synchronic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::91be299d46364700de512fe9fa2349c5
https://doi.org/10.1111/jofi.12838
https://doi.org/10.1111/jofi.12838
Autor:
Albert J. Menkveld, Vincent van Kervel
Publikováno v:
Journal of Finance, 74(3), 1091-1137. Wiley-Blackwell
Van Kervel, V & Menkveld, A J 2019, ' High-Frequency Trading around Large Institutional Orders ', Journal of Finance, vol. 74, no. 3, pp. 1091-1137 . https://doi.org/10.1111/jofi.12759
Van Kervel, V & Menkveld, A J 2019, ' High-Frequency Trading around Large Institutional Orders ', Journal of Finance, vol. 74, no. 3, pp. 1091-1137 . https://doi.org/10.1111/jofi.12759
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same dir
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aab4796f516c04ffb4ef4adb0063b672
https://research.vu.nl/en/publications/acf5c425-7463-4dc4-b2a9-a8874a32bfb6
https://research.vu.nl/en/publications/acf5c425-7463-4dc4-b2a9-a8874a32bfb6