Sovereign Debt Rating and Stock Liquidity around the World
... Kaminsky and Schmukler, 2002; Borensztein, Cowan, and Valenzuela, 2007) • More information asymmetry at the time of earnings announcement (Kim and Verrecchia, 1994) ...
... Kaminsky and Schmukler, 2002; Borensztein, Cowan, and Valenzuela, 2007) • More information asymmetry at the time of earnings announcement (Kim and Verrecchia, 1994) ...
T No Theory? No Evidence? No Problem!
... It is readily understood why the debates over speculation have been so enduring. One of the most important functions of markets is to discover prices; to provide a mechanism whereby information about supply and demand dispersed among millions can be aggregated. Thus, no one has the information to kn ...
... It is readily understood why the debates over speculation have been so enduring. One of the most important functions of markets is to discover prices; to provide a mechanism whereby information about supply and demand dispersed among millions can be aggregated. Thus, no one has the information to kn ...
MS-E2114 Investment Science Exercise 6/2016
... where β1+2 is the beta of a new asset, which is the sum of assets 1 and 2. • The form of the CAPM that clearly displays linearity is called certainty equivalent form, which can be derived as follows. Suppose that we have an asset with price P and nal value Q. We can then write r = Q/P − 1, from whi ...
... where β1+2 is the beta of a new asset, which is the sum of assets 1 and 2. • The form of the CAPM that clearly displays linearity is called certainty equivalent form, which can be derived as follows. Suppose that we have an asset with price P and nal value Q. We can then write r = Q/P − 1, from whi ...
Part 5 Clearing and settlement facilities
... (2) For paragraph 12BAB (18) (i) of the Act, the conduct of: (a) the Stock Exchange of Newcastle Limited, or an agent of that body; or (b) a participant of the Stock Exchange of Newcastle Limited, or an agent of the participant; or (c) Bendigo Stock Exchange Limited, or an agent of that body; or (d) ...
... (2) For paragraph 12BAB (18) (i) of the Act, the conduct of: (a) the Stock Exchange of Newcastle Limited, or an agent of that body; or (b) a participant of the Stock Exchange of Newcastle Limited, or an agent of the participant; or (c) Bendigo Stock Exchange Limited, or an agent of that body; or (d) ...
A Close Look into Black-Scholes Option Pricing Model
... (i).The Black Scholes theorem assumes stocks move in a random walk; random walk means that at any given moment in time, the price of the underlying stock can go up or down with the same probability. However, this assumption does not hold as stock prices are determined by many factors that cannot be ...
... (i).The Black Scholes theorem assumes stocks move in a random walk; random walk means that at any given moment in time, the price of the underlying stock can go up or down with the same probability. However, this assumption does not hold as stock prices are determined by many factors that cannot be ...
Table 1: Granger Causality Testing between Prices and Volumes
... (1970), Westerfield (1977), Harris (1986) and Richardson, Sefcik and Thompson (1987) using daily or weekly data, Epps and Epps (1976) and Jain and Joh (1988) using transactions data and for futures contracts trading by Cornell (1981), Tauchen and Pitts (1983) and Grammatikos and Saunders (1986). A p ...
... (1970), Westerfield (1977), Harris (1986) and Richardson, Sefcik and Thompson (1987) using daily or weekly data, Epps and Epps (1976) and Jain and Joh (1988) using transactions data and for futures contracts trading by Cornell (1981), Tauchen and Pitts (1983) and Grammatikos and Saunders (1986). A p ...
Value of firm`s shares
... WACC: after-tax weighted average required return on all types of securities that firm issues. We have an estimate of total value of the firm. How can we use this to value the firm’s shares? ...
... WACC: after-tax weighted average required return on all types of securities that firm issues. We have an estimate of total value of the firm. How can we use this to value the firm’s shares? ...
1Q13 Basel 2.5 - Final
... constructs a distribution of hypothetical daily changes in the value of trading portfolios based on the following: historical observation of daily changes in key market indices or other market risk factors; and information on the sensitivity of the portfolio values to these market risk factor change ...
... constructs a distribution of hypothetical daily changes in the value of trading portfolios based on the following: historical observation of daily changes in key market indices or other market risk factors; and information on the sensitivity of the portfolio values to these market risk factor change ...
Market Makers
... 614D. A Market Maker wishing to conduct Options Hedging Short Selling shall notify the Exchange of its intention. A Market Maker may also apply to the Exchange to register one or more Exchange Participants as its Options Hedging Participants which will conduct on its behalf Options Hedging Transact ...
... 614D. A Market Maker wishing to conduct Options Hedging Short Selling shall notify the Exchange of its intention. A Market Maker may also apply to the Exchange to register one or more Exchange Participants as its Options Hedging Participants which will conduct on its behalf Options Hedging Transact ...
1 Testing double auction as a component within a generic market
... or (Ghoulmie, Cont, and Nadal 2005)) real markets structure complexity is often circumvented by the use of an equation weighting the balance between bids and offers as a price formation model. This simplification is in complete contradiction with the reality of stock markets where prices emerge from ...
... or (Ghoulmie, Cont, and Nadal 2005)) real markets structure complexity is often circumvented by the use of an equation weighting the balance between bids and offers as a price formation model. This simplification is in complete contradiction with the reality of stock markets where prices emerge from ...
Initial Public Offering in the Primary Market
... this price is taken as a base in calculating the lower and upper price limits to be used in the first trading session on the secondary market. 2- Fixed Price Method All orders are transmitted to the System at such price level which is determined and announced by the company whose stocks are offered ...
... this price is taken as a base in calculating the lower and upper price limits to be used in the first trading session on the secondary market. 2- Fixed Price Method All orders are transmitted to the System at such price level which is determined and announced by the company whose stocks are offered ...
CB(1)440/15-16(08)
... SFC would take to protect small investors given that short selling activities had a significant impact on share prices. 13. SFC advised that while short selling was a highly sophisticated investment activity which was undertaken mostly by large investment institutions and investors, it was a legitim ...
... SFC would take to protect small investors given that short selling activities had a significant impact on share prices. 13. SFC advised that while short selling was a highly sophisticated investment activity which was undertaken mostly by large investment institutions and investors, it was a legitim ...
Environmental Economics
... resources …) were allocated efficiently via markets there was no „environmental problem“ (from an economic point of view). • Can we expect real world markets to work efficiently in the management of environmental goods? ...
... resources …) were allocated efficiently via markets there was no „environmental problem“ (from an economic point of view). • Can we expect real world markets to work efficiently in the management of environmental goods? ...
Parallel Algorithm for Real Time Decision System for
... One of the ways of technical analysis is pattern based trading. A pattern is bar chart information that can be identified in the price history of a security [4]. Usually, this type of chart information has several past occurrences and is expected to reoccur in the future. Furthermore, whenever trad ...
... One of the ways of technical analysis is pattern based trading. A pattern is bar chart information that can be identified in the price history of a security [4]. Usually, this type of chart information has several past occurrences and is expected to reoccur in the future. Furthermore, whenever trad ...
The Vanguard Principles for Investing Success
... _____ 9. Lower cost investments are not very good; you get what you pay for. _____ 10. Investment costs are uncontrollable. _____ 11. Market timing is a reliable long-run strategy to earn above average returns. _____ 12. Taxes are controllable and can be eliminated. _____ 13. Investing can easily be ...
... _____ 9. Lower cost investments are not very good; you get what you pay for. _____ 10. Investment costs are uncontrollable. _____ 11. Market timing is a reliable long-run strategy to earn above average returns. _____ 12. Taxes are controllable and can be eliminated. _____ 13. Investing can easily be ...
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.