Trading Rules and Practices
... dividend received, the ex-day price drop will be rounded down to the nearest tick, so that the change in stock price on the ex-dividend day is always less than the amount of the dividend. Similarly, when a dividend received is between ticks, there will be positive abnormal returns. Frank and Jaganna ...
... dividend received, the ex-day price drop will be rounded down to the nearest tick, so that the change in stock price on the ex-dividend day is always less than the amount of the dividend. Similarly, when a dividend received is between ticks, there will be positive abnormal returns. Frank and Jaganna ...
Testing for imperfect competition at the Fulton fish market - U
... Almost all tests for competition have been performed in oligopolistic industries with high entry barriers, in which an initial case study would suggest anticompetitive behavior.1 These studies use data that have been gathered from public sources such as trade journals, regulatory bodies, or court ca ...
... Almost all tests for competition have been performed in oligopolistic industries with high entry barriers, in which an initial case study would suggest anticompetitive behavior.1 These studies use data that have been gathered from public sources such as trade journals, regulatory bodies, or court ca ...
Trading Strategies in the Current Commodity Market Environment
... noted that history does provide some rare examples of trend-shifts upwards in spot commodity prices, and that perhaps the current era will be another such rare example for agricultural prices. In future issues of Commodity Risk, we will cover the flip side of these return opportunities, namely how t ...
... noted that history does provide some rare examples of trend-shifts upwards in spot commodity prices, and that perhaps the current era will be another such rare example for agricultural prices. In future issues of Commodity Risk, we will cover the flip side of these return opportunities, namely how t ...
The effect of short interest on the subsequent stock
... 1990), this number had been doubled by 2005 (Asquith et al., 2005). Similarly, Boehmer et al. (2008) reported that more than 20% of total trading volume was sold short. In 2009, this number had even increased to 32% of NASDAQ volume according to Diether et al. (2009). Hence one can see the increasin ...
... 1990), this number had been doubled by 2005 (Asquith et al., 2005). Similarly, Boehmer et al. (2008) reported that more than 20% of total trading volume was sold short. In 2009, this number had even increased to 32% of NASDAQ volume according to Diether et al. (2009). Hence one can see the increasin ...
Volume-Synchronized Probability of Informed Trading (VPIN
... measures that are more suitable to examine their association with VPIN. In the first part of the thesis, we aim to choose a best VPIN calculation algorithm that has the most accurate risk-warning effect. This part serves as the basis for the thesis by choosing a VPIN metric that has the most accura ...
... measures that are more suitable to examine their association with VPIN. In the first part of the thesis, we aim to choose a best VPIN calculation algorithm that has the most accurate risk-warning effect. This part serves as the basis for the thesis by choosing a VPIN metric that has the most accura ...
MiFID II Implementation
... otherwise, to take measures to facilitate the earliest possible execution of that order by making it public…Member States may decide that investment firms comply with that obligation by transmitting that client limit order to a trading venue…” This reflects the current arrangement and the intentio ...
... otherwise, to take measures to facilitate the earliest possible execution of that order by making it public…Member States may decide that investment firms comply with that obligation by transmitting that client limit order to a trading venue…” This reflects the current arrangement and the intentio ...
Chapter 2 Securities Markets and Transactions
... • To list its shares on a stock exchange, a firm must file an application and meet certain listing requirements . Some firms have dual listing or listings on more than one exchange. • To be listed on the NYSE, a U.S firm must have at least 400 stockholders owning 100 or more shares and a minimum of ...
... • To list its shares on a stock exchange, a firm must file an application and meet certain listing requirements . Some firms have dual listing or listings on more than one exchange. • To be listed on the NYSE, a U.S firm must have at least 400 stockholders owning 100 or more shares and a minimum of ...
The impact of market liquidity in times of stress on corporate bond
... If large bonds are indeed more liquid then this liquidity should be priced by the market. One standard, and relatively clean, way to test this is to put bond spreads at issuance as the dependent variable of a regression and determine if the liquidity factor affects bond spreads in the predicted dire ...
... If large bonds are indeed more liquid then this liquidity should be priced by the market. One standard, and relatively clean, way to test this is to put bond spreads at issuance as the dependent variable of a regression and determine if the liquidity factor affects bond spreads in the predicted dire ...
The Role of Positions and Activities In Derivative Pricing A
... The role of hedging in demand-based derivative pricing The classic hedging argument should remain an important consideration in risk premium and demand analysis on derivatives. When one takes on a derivative position, one does not directly forecast its risk and ask for a compensation for the foreca ...
... The role of hedging in demand-based derivative pricing The classic hedging argument should remain an important consideration in risk premium and demand analysis on derivatives. When one takes on a derivative position, one does not directly forecast its risk and ask for a compensation for the foreca ...
Should Tender Offer Arbitrage Be Regulated
... HARV. J.LEGIS. 431, 432-33 (1968). This increase in tender offers gave rise to passage of the Williams Act, but that Act in no way dampened the incidence of tender offers. On the contrary, such offers have occurred with increasing frequency in the 1970s. See, e.g., Ehrbar, supra note 14, at 83 (refe ...
... HARV. J.LEGIS. 431, 432-33 (1968). This increase in tender offers gave rise to passage of the Williams Act, but that Act in no way dampened the incidence of tender offers. On the contrary, such offers have occurred with increasing frequency in the 1970s. See, e.g., Ehrbar, supra note 14, at 83 (refe ...
How to Model a Financial Bubble Mathematically Lecture 1 April 12, 2013
... has No Arbitrage if and only if there exists another probability measure Q ∼ P such that S is a martingale • Second Version: David Kreps, circa 1981 realized that No Arbitrage was not a strong enough condition to guarantee such a result in a more general case. He created a new condition and called i ...
... has No Arbitrage if and only if there exists another probability measure Q ∼ P such that S is a martingale • Second Version: David Kreps, circa 1981 realized that No Arbitrage was not a strong enough condition to guarantee such a result in a more general case. He created a new condition and called i ...
Catching falling knives: speculating on market overreaction
... composition of orders and show how their impact on the market differs from the one exerted by traditional informed traders. Non-fundamental information is particularly relevant in periods of financial turbulence: some agents have to sell large amounts due to liquidity constraints, and other investor ...
... composition of orders and show how their impact on the market differs from the one exerted by traditional informed traders. Non-fundamental information is particularly relevant in periods of financial turbulence: some agents have to sell large amounts due to liquidity constraints, and other investor ...
Power law in market capitalization during Dot
... After B. Mandelbrot identified the fractal structure of price fluctuations in asset markets in 1963 [1], statistical physicists have studied the economic mechanism that produces a fractal structure. Power law is an important characteristic in the fractal structure. Some research found that the size di ...
... After B. Mandelbrot identified the fractal structure of price fluctuations in asset markets in 1963 [1], statistical physicists have studied the economic mechanism that produces a fractal structure. Power law is an important characteristic in the fractal structure. Some research found that the size di ...
Would a Stock By Any Other Ticker Smell as Sweet? Alex Head
... The null hypothesis is that the expected value of the daily difference is zero: H0: m = 0. The tstatistic is t= ...
... The null hypothesis is that the expected value of the daily difference is zero: H0: m = 0. The tstatistic is t= ...
What Market Believes
... and produces forecasts that can capture observed deviations from standard learning behavior, such as backward induction, over-reaction and time inconsistency. In economies populated by finitely many traders in which there is more than one most accurate trader, depending on risk attitudes, the next p ...
... and produces forecasts that can capture observed deviations from standard learning behavior, such as backward induction, over-reaction and time inconsistency. In economies populated by finitely many traders in which there is more than one most accurate trader, depending on risk attitudes, the next p ...
decentralized trade mitigates the lemons problem
... Wolinsky (1985, 1990). Except for introducing adverse selection, our model of decentralized trade is standard—in Rubinstein and Wolinsky (1985) traders engage in an alternating offer bargaining game, while in Gale (1987) one agent in a match is randomly selected to make a take-it-or-leave-it price o ...
... Wolinsky (1985, 1990). Except for introducing adverse selection, our model of decentralized trade is standard—in Rubinstein and Wolinsky (1985) traders engage in an alternating offer bargaining game, while in Gale (1987) one agent in a match is randomly selected to make a take-it-or-leave-it price o ...
Does high-frequency trading improve market quality?
... information. Cartea and Penalva (2013) show that HF trading raises volatility and volume. Pagnotta and Philippon (2011) show that the speed competition generally increases welfare, but decreases it when speed becomes inefficiently high. Rosu (2014) theoretically shows that volume, volatility, and li ...
... information. Cartea and Penalva (2013) show that HF trading raises volatility and volume. Pagnotta and Philippon (2011) show that the speed competition generally increases welfare, but decreases it when speed becomes inefficiently high. Rosu (2014) theoretically shows that volume, volatility, and li ...
“Sell in May and Go Away” Just Won`t Go Away
... market-timing strategy. On average, stock returns are about 10 percentage points higher for November– April half-year periods than for May–October half-year periods. The authors also found that the sell-in-May effect is pervasive in financial markets. ...
... market-timing strategy. On average, stock returns are about 10 percentage points higher for November– April half-year periods than for May–October half-year periods. The authors also found that the sell-in-May effect is pervasive in financial markets. ...
Emergence of Networks and Market Institutions in a Large Virtual Economy ∗
... Economics Department, University of California Santa Cruz, CA 95064, [email protected] ...
... Economics Department, University of California Santa Cruz, CA 95064, [email protected] ...
Stock Splits, Liquidity and Limit Orders
... We find that daily share volume decreases by about 9% following a stock split. This result is consistent with Copeland (1979), Lamoureux and Poon (1987) though it differs from Desai, Nimalendran and Venkataraman (1998), who find no significant change. We find no evidence, however, of a change in to ...
... We find that daily share volume decreases by about 9% following a stock split. This result is consistent with Copeland (1979), Lamoureux and Poon (1987) though it differs from Desai, Nimalendran and Venkataraman (1998), who find no significant change. We find no evidence, however, of a change in to ...
week 5
... S(t) is the stock price, dS(t) is the instantaneous change in the stock price, is the continuously compounded expected return on the stock, is the continuously compounded standard deviation ...
... S(t) is the stock price, dS(t) is the instantaneous change in the stock price, is the continuously compounded expected return on the stock, is the continuously compounded standard deviation ...
the valuation of equity derivatives
... Standard contracts that are regularly traded are often referred to as “vanilla” and the more complex as “exotic”. The evolution of derivatives’ markets means there is no concise rule to classify a product as either vanilla or exotic, so what is now considered vanilla may well historically have been ...
... Standard contracts that are regularly traded are often referred to as “vanilla” and the more complex as “exotic”. The evolution of derivatives’ markets means there is no concise rule to classify a product as either vanilla or exotic, so what is now considered vanilla may well historically have been ...
Is it Overreaction? The Long-Horizon Performance of Value and
... assuming that they already achieved ‘old economy’ profit margins – Zero percent cost of capital for ten years ...
... assuming that they already achieved ‘old economy’ profit margins – Zero percent cost of capital for ten years ...
The Payments System and the Market for Interbank Funds
... of rumors that this type of behavior was initially feared on September 11, 2001, with the communications disruptions that day affecting the Bank of New York, a large clearing bank.5 Any such gridlock was in the end averted by energetic liquidity provision by the Federal Reserve. Without significant ...
... of rumors that this type of behavior was initially feared on September 11, 2001, with the communications disruptions that day affecting the Bank of New York, a large clearing bank.5 Any such gridlock was in the end averted by energetic liquidity provision by the Federal Reserve. Without significant ...