Market vs. Residence Principle
... and Ehrenstein et al. (2005) provide evidence that a FTT drives chartists from the taxed market and hence stabilizes prices.5 Turning to the effects of a FTT on market efficiency, Cipriani and Guarino (2008) and Bloomfield et al. (2009) study the effects of a FTT in an experimental financial market. The ...
... and Ehrenstein et al. (2005) provide evidence that a FTT drives chartists from the taxed market and hence stabilizes prices.5 Turning to the effects of a FTT on market efficiency, Cipriani and Guarino (2008) and Bloomfield et al. (2009) study the effects of a FTT in an experimental financial market. The ...
Investment Basics XLVI. On estimating the beta coefficient
... correction (especially when it is known that stocks suffer from thin-trading) and the Bayesian correction. ...
... correction (especially when it is known that stocks suffer from thin-trading) and the Bayesian correction. ...
Deterrence - Investor Voice, Securities Regulation in Canada
... Economists have been presenting consistent empirical evidence of widespread insider trading on various markets around the world for over a decade. Economists define insider trading broadly as trading on inside information, being material facts or changes that have not been publicly disclosed through ...
... Economists have been presenting consistent empirical evidence of widespread insider trading on various markets around the world for over a decade. Economists define insider trading broadly as trading on inside information, being material facts or changes that have not been publicly disclosed through ...
Short Selling IPOs
... pricing of IPOs. First, Miller (1977) suggests that investor overoptimism combined with the inability to short sell the security leads to higher initial returns than would otherwise occur. More recently, the models of Derrien (2006) and Ljungqvist, Nanda and Singh (2006) predict that underwriters an ...
... pricing of IPOs. First, Miller (1977) suggests that investor overoptimism combined with the inability to short sell the security leads to higher initial returns than would otherwise occur. More recently, the models of Derrien (2006) and Ljungqvist, Nanda and Singh (2006) predict that underwriters an ...
the long reach of Georgia-Pacific`s Harmon Associates is beginning
... Georgia-Pacific is a corporate name that most Americans find recognizable, which is why it is also a name that Harmon Associates turns to when striving for economies of scale. Harmon Associates, the scrap paper trading arm of Georgia-Pacific (GP), employs approximately 150 people around the world wh ...
... Georgia-Pacific is a corporate name that most Americans find recognizable, which is why it is also a name that Harmon Associates turns to when striving for economies of scale. Harmon Associates, the scrap paper trading arm of Georgia-Pacific (GP), employs approximately 150 people around the world wh ...
Absence of Common Knowledge as A Source of
... to econometricians. Still, it is difficult to identify any fundamental changes to support a 90 percent decline in US stock prices over a three-year period beginning in 1929. Stock market bids, offers, and transactions are observable data. Investor beliefs of all orders, being inherently private, ar ...
... to econometricians. Still, it is difficult to identify any fundamental changes to support a 90 percent decline in US stock prices over a three-year period beginning in 1929. Stock market bids, offers, and transactions are observable data. Investor beliefs of all orders, being inherently private, ar ...
LSEDM - Tariff Schedule - London Stock Exchange Group
... index options and futures as well as 3 single stock options & futures, it will benefit from a further 15% discount on its OBX derivatives trading, adding up to a total of 70% discount (55%+15%), plus a 60% discount of stock option fees. The same rationale applies to discounts on single stock options ...
... index options and futures as well as 3 single stock options & futures, it will benefit from a further 15% discount on its OBX derivatives trading, adding up to a total of 70% discount (55%+15%), plus a 60% discount of stock option fees. The same rationale applies to discounts on single stock options ...
4 Empirical Results. - Econ
... How inside information influences portfolio choice in liberalized financial markets is the focus of this article. It extends a result due to Fama and French (2006). These authors show that after removing one of the CAPM assumptions, the assumption that all investors have equal information – outsider ...
... How inside information influences portfolio choice in liberalized financial markets is the focus of this article. It extends a result due to Fama and French (2006). These authors show that after removing one of the CAPM assumptions, the assumption that all investors have equal information – outsider ...
Results
... This is connected with the fact that so called “paper commodities”, or more precisely manipulation with prices of contracts of futures, derived from commodities of commodity indices, can influence their own prompt prices. This is done e.g. by shorting, entering so called “intelligent stock exchange ...
... This is connected with the fact that so called “paper commodities”, or more precisely manipulation with prices of contracts of futures, derived from commodities of commodity indices, can influence their own prompt prices. This is done e.g. by shorting, entering so called “intelligent stock exchange ...
FUTURES PRODUCT DISCLOSURE STATEMENT INTERACTIVE
... document is intended to apply to any Futures contracts traded on a computer based exchange unless otherwise indicated. There may, however, be differences in procedure and regulation of markets from one country to another and one exchange to another. ...
... document is intended to apply to any Futures contracts traded on a computer based exchange unless otherwise indicated. There may, however, be differences in procedure and regulation of markets from one country to another and one exchange to another. ...
Investments
... (b) low-beta stocks are consistently overpriced (c) positive alpha investment opportunities will quickly disappear (d) rational investors will pursue arbitrage consistent with their risk tolerance 12. The arbitrage pricing theory (APT) differs from the single-factor capital asset pricing model (CAPM ...
... (b) low-beta stocks are consistently overpriced (c) positive alpha investment opportunities will quickly disappear (d) rational investors will pursue arbitrage consistent with their risk tolerance 12. The arbitrage pricing theory (APT) differs from the single-factor capital asset pricing model (CAPM ...
Earnings Fluctuation on Share Price Volatility
... earnings provide information to predict future period’s earnings, which provide information to develop expectations about dividends in future periods. This in turn provides information to determine share value. New earnings information that activates a change in investors’ expectations for future di ...
... earnings provide information to predict future period’s earnings, which provide information to develop expectations about dividends in future periods. This in turn provides information to determine share value. New earnings information that activates a change in investors’ expectations for future di ...
General Black-Scholes models accounting for increased market
... Brennan and Schwartz [5] construct a single-period model in which a fraction of the wealth is held by an expected utility maximizing investor, and the rest by an investor following a simple portfolio insurance strategy that is a priori known to all. They assume the rst investor has a CRRA utility ...
... Brennan and Schwartz [5] construct a single-period model in which a fraction of the wealth is held by an expected utility maximizing investor, and the rest by an investor following a simple portfolio insurance strategy that is a priori known to all. They assume the rst investor has a CRRA utility ...
How important is dividend yield?
... off of your stock. The dividend yield of a stock is also a good indicator of the value of the company and whether or not it is performing well. The dividend yield should not be exclusively used as a criterion when evaluating cash producing investment opportunities. When evaluating dividend-paying st ...
... off of your stock. The dividend yield of a stock is also a good indicator of the value of the company and whether or not it is performing well. The dividend yield should not be exclusively used as a criterion when evaluating cash producing investment opportunities. When evaluating dividend-paying st ...
Risks in Hedge Fund Strategies: Case of Convertible Arbitrage
... likely to be found via the interest rate and volatility channels. The credit arbitrage factor, PCASc, does not appear to apply to the Japanese CB market. Why doesn’t credit risk offer much exploitable arbitrage opportunities in Japan? We believe there are three possible reasons. The first one relate ...
... likely to be found via the interest rate and volatility channels. The credit arbitrage factor, PCASc, does not appear to apply to the Japanese CB market. Why doesn’t credit risk offer much exploitable arbitrage opportunities in Japan? We believe there are three possible reasons. The first one relate ...
Surprise Effect of European Macroeconomic Announcements on
... third parameter, i, indicates asymmetric effects in the model. Forth paramet, i, measures the persistence of conditional volatility, and fifth parameter, ƞi, is a parameter that defines the impact of macroeconomic news surprises. In the variance equation of Model 1, Si,t is a cx1 vector of surprises ...
... third parameter, i, indicates asymmetric effects in the model. Forth paramet, i, measures the persistence of conditional volatility, and fifth parameter, ƞi, is a parameter that defines the impact of macroeconomic news surprises. In the variance equation of Model 1, Si,t is a cx1 vector of surprises ...
Index Futures and Options - Contract Information
... A riskless basis cross is a trade where an approved participant and a client engage in pretrade discussions to agree upon the terms of a transaction on index futures contracts to take place outside the MX’s electronic trading system. The trade must include the acquisition of a cash market position b ...
... A riskless basis cross is a trade where an approved participant and a client engage in pretrade discussions to agree upon the terms of a transaction on index futures contracts to take place outside the MX’s electronic trading system. The trade must include the acquisition of a cash market position b ...
Debunking myths about ETF liquidity
... they are one of the fastest-growing investment vehicles. ETFs offer many benefits to investors, including intraday trading flexibility, tax efficiency and potentially lower costs, but one of the most important ETF features—their liquidity—is also one of the most widely misunderstood. Loosely transla ...
... they are one of the fastest-growing investment vehicles. ETFs offer many benefits to investors, including intraday trading flexibility, tax efficiency and potentially lower costs, but one of the most important ETF features—their liquidity—is also one of the most widely misunderstood. Loosely transla ...
Debunking myths about ETF liquidity
... they are one of the fastest-growing investment vehicles. ETFs offer many benefits to investors, including intraday trading flexibility, tax efficiency and potentially lower costs, but one of the most important ETF features—their liquidity—is also one of the most widely misunderstood. Loosely transla ...
... they are one of the fastest-growing investment vehicles. ETFs offer many benefits to investors, including intraday trading flexibility, tax efficiency and potentially lower costs, but one of the most important ETF features—their liquidity—is also one of the most widely misunderstood. Loosely transla ...
The Information Content of Options Trading
... and all options maturity days from January 2002 to December 2005. One of the unique features of our dataset is that each transaction record can be identified for different investor classes,4 which enables us to classify the associated transaction volume into four main investor classes comprising of ...
... and all options maturity days from January 2002 to December 2005. One of the unique features of our dataset is that each transaction record can be identified for different investor classes,4 which enables us to classify the associated transaction volume into four main investor classes comprising of ...
Financial Transaction Tax and Financial Market Stability with
... different. This quantitative differences stem from the different restriction on the agents’ behavior taxes on different markets have. In particular, a transaction tax on the stock market impedes the ability of the agents to buy or sell stocks. Whereas a transaction tax on the bond impedes the abilit ...
... different. This quantitative differences stem from the different restriction on the agents’ behavior taxes on different markets have. In particular, a transaction tax on the stock market impedes the ability of the agents to buy or sell stocks. Whereas a transaction tax on the bond impedes the abilit ...
Quote Stuffing - Mississippi State University`s College of Business
... all increase with changes in the speed and quantity of human order submissions. As the proportion of transactions submitted by computers grows, the ability to forecast with transaction prices should increase. Cartea and Penalva (2011) model the impact of HFT on financial markets using a model with ...
... all increase with changes in the speed and quantity of human order submissions. As the proportion of transactions submitted by computers grows, the ability to forecast with transaction prices should increase. Cartea and Penalva (2011) model the impact of HFT on financial markets using a model with ...