This paper explores the determinants of liquidity across households and over time, using a range of household surveys for Australia. The authors find that household liquidity is strongly associated with life cycle factors, such as age and housing tenure.

The net effects of algorithmic and high-frequency traders mask considerable heterogeneity in how they impact institutional transaction costs. The paper finds that fast traders and those with high order-to-trade ratios are no more likely to increase costs than others. Traders that increase costs are more active in small stocks.

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with non-zero LGD as non-cure loans. We find robust evidence that...

Theory suggests that increasing the public availability of regulatory information may hurt the information environment of bank stocks. It is therefore not clear whether the Basel Accord’s intent to foster market discipline by requiring banks to publish information on their risk management practices and exposures is beneficial. Using a sample of the 54 largest banks...

Abstract: We investigate the short-term relation between individual investor trading and stock returns on the Australian Securities Exchange. Stocks heavily bought by individual investors underperform stocks heavily sold over the subsequent three days, with respective returns on to a long-short portfolio of -93, -67 and -12 basis points on days one, two, and three. Individuals...