Transaction Costs, Trade Throughs, and Riskless Principal Trading
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
The Implied Probability Distribution of Future Stock Prices
... other calls. Later research would find more pronounced volatiles smiles, also for options with longer maturities. Early explanations of the volatility smile were market imperfections such as transaction costs and bid-ask spreads. As deep out of the money options have very little value transaction co ...
... other calls. Later research would find more pronounced volatiles smiles, also for options with longer maturities. Early explanations of the volatility smile were market imperfections such as transaction costs and bid-ask spreads. As deep out of the money options have very little value transaction co ...
Momentum and Investor Sentiment
... such as the Hochiminh Stock Exchange (HOSE) in Vietnam. As in Griffin et al. (2005), a minimum of 50 stocks are required to be listed on the stock exchange to enable momentum and subsequent tests to be carried out. This restriction weeds out exchanges with limited listings such as the Maldives Stoc ...
... such as the Hochiminh Stock Exchange (HOSE) in Vietnam. As in Griffin et al. (2005), a minimum of 50 stocks are required to be listed on the stock exchange to enable momentum and subsequent tests to be carried out. This restriction weeds out exchanges with limited listings such as the Maldives Stoc ...
The Case of the Alberta Electricity Market
... economically significant competitiveness benefits to electricity consumers from a transmission policy that causes the five largest suppliers to perceive a low frequency and duration of transmission constraints. These results imply that failing to account for this source of consumer benefits in the trans ...
... economically significant competitiveness benefits to electricity consumers from a transmission policy that causes the five largest suppliers to perceive a low frequency and duration of transmission constraints. These results imply that failing to account for this source of consumer benefits in the trans ...
Margins - ASX Clear - Australian Securities Exchange
... security. To calculate the additional margin, ADMS uses the published margin interval. The margin interval is determined through various observations over a period for each underlying. For example, assume Telstra has a current share price of $4.18. Based on an analysis of the price of Telstra shares ...
... security. To calculate the additional margin, ADMS uses the published margin interval. The margin interval is determined through various observations over a period for each underlying. For example, assume Telstra has a current share price of $4.18. Based on an analysis of the price of Telstra shares ...
CHAPTER 15 Stockholders` Equity
... directly to retained earnings, against which they were incorrectly charged. Since treasury stock cannot be considered an asset, dividends on treasury stock are not properly included in net income. ...
... directly to retained earnings, against which they were incorrectly charged. Since treasury stock cannot be considered an asset, dividends on treasury stock are not properly included in net income. ...
Do Firms Undertake Self-Tender Offers to Optimize Capital Structure?*
... following defensive self-tender offers conform with the results in Billett (1996), who documents that risky debt is the most effective takeover deterrent. Using the self-tender offer sample in combination with a control sample that is matched on industry and size, I examine the determinants of the d ...
... following defensive self-tender offers conform with the results in Billett (1996), who documents that risky debt is the most effective takeover deterrent. Using the self-tender offer sample in combination with a control sample that is matched on industry and size, I examine the determinants of the d ...
Quantitative Easing and Volatility Spillovers across
... Recent literature also links monetary policy to systemic risk. For example, Jimenez, Ongena, Peydro and Suarina (2014) show that monetary policy in the form of low interest rates is a potential source of systemic risk because it leads to bank risk taking. Allen (2014) argues that systemic risk is en ...
... Recent literature also links monetary policy to systemic risk. For example, Jimenez, Ongena, Peydro and Suarina (2014) show that monetary policy in the form of low interest rates is a potential source of systemic risk because it leads to bank risk taking. Allen (2014) argues that systemic risk is en ...
Market Arbitrage of Cash Dividends and Franking Credits
... hypothesis says that the ex-dividend event is dominated by short-term arbitrageurs whose short-term trading gains are taxed in the same way as dividend income. These arbitrageurs engage in trade around the ex-dividend day until the fall in the share price equals the size of the dividend, i.e. Td = T ...
... hypothesis says that the ex-dividend event is dominated by short-term arbitrageurs whose short-term trading gains are taxed in the same way as dividend income. These arbitrageurs engage in trade around the ex-dividend day until the fall in the share price equals the size of the dividend, i.e. Td = T ...
Speculative Betas - Harvard Business School
... kets nor is it a function of high disagreement stocks under-performing. We also show that our finding is not driven by (and if anything made stronger after controlling for) existing cross-sectional predictability patterns like size and value-growth effects in the data. In other words, the inverted- ...
... kets nor is it a function of high disagreement stocks under-performing. We also show that our finding is not driven by (and if anything made stronger after controlling for) existing cross-sectional predictability patterns like size and value-growth effects in the data. In other words, the inverted- ...
Speculative Betas - Fisher College of Business
... kets nor is it a function of high disagreement stocks under-performing. We also show that our finding is not driven by (and if anything made stronger after controlling for) existing cross-sectional predictability patterns like size and value-growth effects in the data. In other words, the inverted- ...
... kets nor is it a function of high disagreement stocks under-performing. We also show that our finding is not driven by (and if anything made stronger after controlling for) existing cross-sectional predictability patterns like size and value-growth effects in the data. In other words, the inverted- ...
Bid-ask spread components on the foreign exchange market: The
... major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a general interest in financial topics. After more than a year of hard work, it still is interesting. ...
... major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a general interest in financial topics. After more than a year of hard work, it still is interesting. ...
Do Individual Behavioral Biases Affect Financial Markets and the
... that investors tilt their portfolios toward stocks that are geographically and professionally close to the investor. Keloharju, Knüpfer, and Linnainmaa (2012) find that people tend to invest in firms they know through their product-market experiences, and that this bias is linked to preferences as ...
... that investors tilt their portfolios toward stocks that are geographically and professionally close to the investor. Keloharju, Knüpfer, and Linnainmaa (2012) find that people tend to invest in firms they know through their product-market experiences, and that this bias is linked to preferences as ...
Share repurchases as a potential tool to mislead investors
... extreme cases is low, well below 10% of the sample. Further, given our inability to observe true managerial intent, our approach is noisy and only a proxy; some of these suspect cases are undoubtedly misclassified. Moreover, we cannot rule out the possibility that announcements made by firms with poor ...
... extreme cases is low, well below 10% of the sample. Further, given our inability to observe true managerial intent, our approach is noisy and only a proxy; some of these suspect cases are undoubtedly misclassified. Moreover, we cannot rule out the possibility that announcements made by firms with poor ...
The Impact of Hidden Liquidity in Limit Order Books
... records include a flag for an iceberg order which we use to construct complete histories for all limit and iceberg orders. From these histories we reconstruct snapshots of the visible and hidden order books 1/100th of a second before each transaction. We restrict our sample to orders submitted duri ...
... records include a flag for an iceberg order which we use to construct complete histories for all limit and iceberg orders. From these histories we reconstruct snapshots of the visible and hidden order books 1/100th of a second before each transaction. We restrict our sample to orders submitted duri ...
The pricing of volatility risk across asset classes
... Covt (Vm , Rm ), is usually estimated to be negative ...
... Covt (Vm , Rm ), is usually estimated to be negative ...
How riskless is “riskless” arbitrage?
... new limit, which is applicable to all asset markets. In contrast to previous limits to arbitrage, the mechanism we present does not rely on convergence trading, taxes, regulatory, and shortselling constraints. This risk can be particularly important in explaining the persistence and in exploiting de ...
... new limit, which is applicable to all asset markets. In contrast to previous limits to arbitrage, the mechanism we present does not rely on convergence trading, taxes, regulatory, and shortselling constraints. This risk can be particularly important in explaining the persistence and in exploiting de ...
2010 Flash Crash
The May 6, 2010, Flash Crash also known as The Crash of 2:45, the 2010 Flash Crash or simply the Flash Crash, was a United States trillion-dollar stock market crash, which started at 2:32 and lasted for approximately 36 minutes. Stock indexes, such as the S&P 500, Dow Jones Industrial Average and Nasdaq 100, collapsed and rebounded very rapidly.The Dow Jones Industrial Average had its biggest intraday point drop (from the opening) up to that point, plunging 998.5 points (about 9%), most within minutes, only to recover a large part of the loss. It was also the second-largest intraday point swing (difference between intraday high and intraday low) up to that point, at 1,010.14 points. The prices of stocks, stock index futures, options and ETFs were volatile, thus trading volume spiked. A CFTC 2014 report described it as one of the most turbulent periods in the history of financial markets.On April 21, 2015, nearly five years after the incident, the U.S. Department of Justice laid ""22 criminal counts, including fraud and market manipulation"" against Navinder Singh Sarao, a trader. Among the charges included was the use of spoofing algorithms; just prior to the Flash Crash, he placed thousands of E-mini S&P 500 stock index futures contracts which he planned on canceling later. These orders amounting to about ""$200 million worth of bets that the market would fall"" were ""replaced or modified 19,000 times"" before they were canceled. Spoofing, layering and front-running are now banned.The Commodity Futures Trading Commission (CFTC) investigation concluded that Sarao ""was at least significantly responsible for the order imbalances"" in the derivatives market which affected stock markets and exacerbated the flash crash. Sarao began his alleged market manipulation in 2009 with commercially available trading software whose code he modified ""so he could rapidly place and cancel orders automatically."" Traders Magazine journalist, John Bates, argued that blaming a 36-year-old small-time trader who worked from his parents' modest stucco house in suburban west London for sparking a trillion-dollar stock market crash is a little bit like blaming lightning for starting a fire"" and that the investigation was lengthened because regulators used ""bicycles to try and catch Ferraris."" Furthermore, he concluded that by April 2015, traders can still manipulate and impact markets in spite of regulators and banks' new, improved monitoring of automated trade systems.As recently as May 2014, a CFTC report concluded that high-frequency traders ""did not cause the Flash Crash, but contributed to it by demanding immediacy ahead of other market participants.""Recent research shows that Flash Crashes are not isolated occurrences, but have occurred quite often over the past century. For instance, Irene Aldridge, the author of High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, 2nd ed., Wiley & Sons, shows that Flash Crashes have been frequent and their causes predictable in market microstructure analysis.