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Volume and Liquidity After Cross
... This cross-sectional diversity motivates the second step in our analysis: understanding which company and market characteristics are associated with the different patterns in long-run distribution of trading and in adjustment towards equilibrium. To guide the analysis, we review the possible reasons ...
... This cross-sectional diversity motivates the second step in our analysis: understanding which company and market characteristics are associated with the different patterns in long-run distribution of trading and in adjustment towards equilibrium. To guide the analysis, we review the possible reasons ...
Introduction to Financial Management
... The Principle of Diversification • Diversification can substantially reduce risk without an equivalent reduction in expected returns – Reduces the variability of returns – Caused by the offset of worse-thanexpected returns from one asset by betterthan-expected returns from another ...
... The Principle of Diversification • Diversification can substantially reduce risk without an equivalent reduction in expected returns – Reduces the variability of returns – Caused by the offset of worse-thanexpected returns from one asset by betterthan-expected returns from another ...
Is Economics Performative? Option Theory and the Construction of Derivatives Markets
... By the start of the 1970s, however, work by financial economists Fischer Black and Myron Scholes, with key additional input from their colleague Robert C. Merton, produced what has become the canonical theory of options (Black and Scholes 1973; Merton 1973). Although there were significant differenc ...
... By the start of the 1970s, however, work by financial economists Fischer Black and Myron Scholes, with key additional input from their colleague Robert C. Merton, produced what has become the canonical theory of options (Black and Scholes 1973; Merton 1973). Although there were significant differenc ...
modeling the optimal strategy in an incomplete market
... equation is solvable, leading to a so-called ”myopic” optimal portfolio strategy. The myopic strategy is suboptimal, but we use it as the first step in a recursive algorithm which approximates the unique optimal strategy. The myopic strategy is a good initial strategy in this algorithm because it req ...
... equation is solvable, leading to a so-called ”myopic” optimal portfolio strategy. The myopic strategy is suboptimal, but we use it as the first step in a recursive algorithm which approximates the unique optimal strategy. The myopic strategy is a good initial strategy in this algorithm because it req ...
Earnings Release
... Thomas (2000) explains this assimilation delay as a market under-reaction to fundamental signals concerning future earnings. There will thus be a predictive adjustment during the next quarter if the signal is confirmed. Most of the empirical studies about earnings announcements and their impact on ...
... Thomas (2000) explains this assimilation delay as a market under-reaction to fundamental signals concerning future earnings. There will thus be a predictive adjustment during the next quarter if the signal is confirmed. Most of the empirical studies about earnings announcements and their impact on ...
Chapter 2: Fisher, Solow, and the General Intertemporal Equilibrium
... There have been other reinterpretations of Fisher's theory that are quite djfferen t from the one presented here. The most prominent example is Hirshleifer (1970). Hirshleifer has provided important insights into the process of intertemporal allocation, however, whh the attempt to integrate the prob ...
... There have been other reinterpretations of Fisher's theory that are quite djfferen t from the one presented here. The most prominent example is Hirshleifer (1970). Hirshleifer has provided important insights into the process of intertemporal allocation, however, whh the attempt to integrate the prob ...
An Examination of Herd Behavior: An Empirical Study on
... major booms and busts in the market. Herding is one such behavioral anomaly which defies the efficient market hypothesis (EMH). According to EMH, investors make informed decisions and determine their expected returns based on equilibrium model like Capital Asset Pricing Model (CAPM). Therefore all t ...
... major booms and busts in the market. Herding is one such behavioral anomaly which defies the efficient market hypothesis (EMH). According to EMH, investors make informed decisions and determine their expected returns based on equilibrium model like Capital Asset Pricing Model (CAPM). Therefore all t ...
a survey of strategic market games
... 4. Fiat money, "a fictitious durable" with no consumption value, but with value "derived from its participation and usage in transactions" (Kiyotaki and Wrigh, 1989). The key difference between fiat money and any consumable good is that, for any period in a multi-period trade, money is a stock varia ...
... 4. Fiat money, "a fictitious durable" with no consumption value, but with value "derived from its participation and usage in transactions" (Kiyotaki and Wrigh, 1989). The key difference between fiat money and any consumable good is that, for any period in a multi-period trade, money is a stock varia ...
LDH161211
... contract be cancelled and no exchange gain to be passed. Certificate that the exposure is not covered with any AD category 1 bank and if covered in parts, the details thereof. Quarterly certificate from statutory auditor of customer that contracts outstanding at any point of time during the quarter ...
... contract be cancelled and no exchange gain to be passed. Certificate that the exposure is not covered with any AD category 1 bank and if covered in parts, the details thereof. Quarterly certificate from statutory auditor of customer that contracts outstanding at any point of time during the quarter ...
equity valuation model of Vietnamese companies in foreign
... purpose of this research is to propose an equity valuation model which possibly is used by big Vietnamese companies to estimate their stocks price in a foreign securities market. In addition, a gap between Vietnamese and the international literature on company valuation in emerging markets can also ...
... purpose of this research is to propose an equity valuation model which possibly is used by big Vietnamese companies to estimate their stocks price in a foreign securities market. In addition, a gap between Vietnamese and the international literature on company valuation in emerging markets can also ...
Externalities
... Note: At the market equilibrium, there are still more Pareto Improvements to be made. D (private value) QMARKET ...
... Note: At the market equilibrium, there are still more Pareto Improvements to be made. D (private value) QMARKET ...
Liquidity measures, liquidity drivers and expected returns on an
... developed markets a century afterwards (Gehrig and Fohlin 2006). The substantially shorter business cycles in Imperial Germany are found and discussed in Burhop and Wolff (2005). We use daily stock returns of a sample of 27 stocks, included into the index described in Gelman and Burhop (2008), to ca ...
... developed markets a century afterwards (Gehrig and Fohlin 2006). The substantially shorter business cycles in Imperial Germany are found and discussed in Burhop and Wolff (2005). We use daily stock returns of a sample of 27 stocks, included into the index described in Gelman and Burhop (2008), to ca ...
The Causal Effects of Short-Selling Bans
... countries that imposed short sales restrictions during the financial crisis. Unlike Boehmer et al. (2013) who find strongest effects for large stocks, Beber and Pagano (2013) find that the strongest results are concentrated in smaller capitalization stocks. Bris, Goetzmann and Zhu (2007) analyze an ...
... countries that imposed short sales restrictions during the financial crisis. Unlike Boehmer et al. (2013) who find strongest effects for large stocks, Beber and Pagano (2013) find that the strongest results are concentrated in smaller capitalization stocks. Bris, Goetzmann and Zhu (2007) analyze an ...
2010 Flash Crash
![](https://commons.wikimedia.org/wiki/Special:FilePath/2010_flash_crash.jpg?width=300)
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.