Arbeitspapier

The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

zu Verbundenen Objekten

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely-published evacuation zone of New York City prior to landfall. We nd relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.

Sprache
Englisch

Erschienen in
Series: ZEW Discussion Papers ; No. 18-024

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Thema
Uncertainty
liquidity
financial crisis
natural experiment

Ereignis
Geistige Schöpfung
(wer)
Rehse, Dominik
Riordan, Ryan
Rottke, Nico
Zietz, Joachim
Ereignis
Veröffentlichung
(wer)
Zentrum für Europäische Wirtschaftsforschung (ZEW)
(wo)
Mannheim
(wann)
2018

Handle
URN
urn:nbn:de:bsz:180-madoc-461619
Letzte Aktualisierung
20.09.2024, 08:23 MESZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Rehse, Dominik
  • Riordan, Ryan
  • Rottke, Nico
  • Zietz, Joachim
  • Zentrum für Europäische Wirtschaftsforschung (ZEW)

Entstanden

  • 2018

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