DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dierker, Martin J | ko |
dc.contributor.author | Kim, Jung-Wook | ko |
dc.contributor.author | Lee, Jason | ko |
dc.contributor.author | Morck, Randall | ko |
dc.date.accessioned | 2016-09-07T01:04:51Z | - |
dc.date.available | 2016-09-07T01:04:51Z | - |
dc.date.created | 2016-08-08 | - |
dc.date.created | 2016-08-08 | - |
dc.date.created | 2016-08-08 | - |
dc.date.issued | 2016-07 | - |
dc.identifier.citation | REVIEW OF FINANCE, v.20, no.4, pp.1517 - 1547 | - |
dc.identifier.issn | 1572-3097 | - |
dc.identifier.uri | http://hdl.handle.net/10203/212464 | - |
dc.description.abstract | Complete limit order data from Korea show individual stocks' demand and supply elasticities correlating negatively in short windows. That is, whenever a stock's demand is unusually elastic, its supply is unusually inelastic, and vice versa. However, in long windows, individual stocks' demand and supply elasticities correlate positively. Notably, both fall about 40% with the 1997 Asian Financial Crisis, and remain depressed long after the market and macroeconomic variables recover. A parsimonious model explains both findings with investor information heterogeneity and risk-aversion parameters, fixed in the short-run, being permanently shifted by the crisis | - |
dc.language | English | - |
dc.publisher | OXFORD UNIV PRESS | - |
dc.title | Investors' Interacting Demand and Supply Curves for Common Stocks | - |
dc.type | Article | - |
dc.identifier.wosid | 000379777900008 | - |
dc.identifier.scopusid | 2-s2.0-84977079286 | - |
dc.type.rims | ART | - |
dc.citation.volume | 20 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 1517 | - |
dc.citation.endingpage | 1547 | - |
dc.citation.publicationname | REVIEW OF FINANCE | - |
dc.identifier.doi | 10.1093/rof/rfv042 | - |
dc.contributor.localauthor | Dierker, Martin J | - |
dc.contributor.nonIdAuthor | Kim, Jung-Wook | - |
dc.contributor.nonIdAuthor | Lee, Jason | - |
dc.contributor.nonIdAuthor | Morck, Randall | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | LIMIT-ORDER MARKETS | - |
dc.subject.keywordPlus | INSTITUTIONAL TRADES | - |
dc.subject.keywordPlus | EMPIRICAL-ANALYSIS | - |
dc.subject.keywordPlus | PRICE IMPACT | - |
dc.subject.keywordPlus | BLOCK TRADES | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.subject.keywordPlus | EXCHANGE | - |
dc.subject.keywordPlus | VOLUME | - |
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