Limits to arbitrage: bubbles, financial crises, and systemic risk
... bank has no control over how the loan is actually invested limited liability: they enjoy the upside and care less about the downide risk risk shifting: people increase demand on the risky asset, driving its price higher than the fundamental value Svetlana Bryzgalova (LSE) ...
... bank has no control over how the loan is actually invested limited liability: they enjoy the upside and care less about the downide risk risk shifting: people increase demand on the risky asset, driving its price higher than the fundamental value Svetlana Bryzgalova (LSE) ...
The Cost of Immediacy for Corporate Bonds
... participants, who will likely, albeit reluctantly, spread their large trades over time, or give up on large trades altogether. In fact, measured trading costs might decrease, leading to erroneous conclusions about recent regulations. To use an analogy, rules increasing the cost of air travel will in ...
... participants, who will likely, albeit reluctantly, spread their large trades over time, or give up on large trades altogether. In fact, measured trading costs might decrease, leading to erroneous conclusions about recent regulations. To use an analogy, rules increasing the cost of air travel will in ...
Investing in Exchange Traded Funds (ETFs):
... Credit. • Trading hours correspond with the regular trading hours of the Toronto Exchange and U.S. exchanges (normally 9:30 AM – 4:00 PM eastern time). • All ETFs have redemption features. Holders with large positions in ETFs are allowed to exchange their units for shares that underlie the unit. Net ...
... Credit. • Trading hours correspond with the regular trading hours of the Toronto Exchange and U.S. exchanges (normally 9:30 AM – 4:00 PM eastern time). • All ETFs have redemption features. Holders with large positions in ETFs are allowed to exchange their units for shares that underlie the unit. Net ...
Frontier Markets
... Markets, and inflows into the asset class have driven further investors to take another look. As an example, trading volumes in Saudi Arabia average USD 2bn per day – more than South Africa and as much as Russia. There is liquidity – even if the market is not in the mainstream indices or is poorly c ...
... Markets, and inflows into the asset class have driven further investors to take another look. As an example, trading volumes in Saudi Arabia average USD 2bn per day – more than South Africa and as much as Russia. There is liquidity – even if the market is not in the mainstream indices or is poorly c ...
The role of information asymmetry and financial reporting quality in
... traders into public information in the secondary loan market. The effect of timely loss recognition on the effectiveness of debt agreements and its influence on the borrower’s information environment make the secondary loan market an excellent empirical setting in which to explore the importance of ...
... traders into public information in the secondary loan market. The effect of timely loss recognition on the effectiveness of debt agreements and its influence on the borrower’s information environment make the secondary loan market an excellent empirical setting in which to explore the importance of ...
V. The Culture of Risk and Regulation
... We suggest that the scientific promise of risk management was actually a convenient justification for large risk-taking, and that there were in fact incentives to turn a blind eye to the possibility that risk was improperly understood and managed. Wall Street came to view large risk taking as the no ...
... We suggest that the scientific promise of risk management was actually a convenient justification for large risk-taking, and that there were in fact incentives to turn a blind eye to the possibility that risk was improperly understood and managed. Wall Street came to view large risk taking as the no ...
research on market efficiency - Securities Class Action Clearinghouse
... SEC registration Form S-3, and (5) the cause-and-effect relationship between material disclosures and changes in the security’s price. 3 These “Cammer factors” have been adopted by a number of courts, while still other courts have added other factors. 4 For instance, one court considered the company ...
... SEC registration Form S-3, and (5) the cause-and-effect relationship between material disclosures and changes in the security’s price. 3 These “Cammer factors” have been adopted by a number of courts, while still other courts have added other factors. 4 For instance, one court considered the company ...
Price Impact and the Recovery of the Limit Order Book
... Authors, such as Garbade (1982), Kyle (1985), Harris (2003) define market resiliency as how quickly prices revert to former levels after they change in response to large order flow initiated by uninformed traders. According to the seminal paper of Glosten and Milgrom (1985), this price discovery pr ...
... Authors, such as Garbade (1982), Kyle (1985), Harris (2003) define market resiliency as how quickly prices revert to former levels after they change in response to large order flow initiated by uninformed traders. According to the seminal paper of Glosten and Milgrom (1985), this price discovery pr ...
Financial equilibrium with career concerns
... has on the asset market. In a recent study of active management, Berk and Green (2004) present a model with symmetric information, learning, and diminishing returns to fund size that replicates several features of the data, including the flow-performance relationship. Berk and Green consider a parti ...
... has on the asset market. In a recent study of active management, Berk and Green (2004) present a model with symmetric information, learning, and diminishing returns to fund size that replicates several features of the data, including the flow-performance relationship. Berk and Green consider a parti ...
Decimalization, trading costs, and information transmission between
... where Ait (Bit) is the quoted ask (bid) price for stock i at time t, and Mit is the midpoint of the quoted ask and bid prices. Relative quoted spreads are likely to be biased estimators of trading costs, because trades do not always occur at the posted quotes. The relative effective spread (ES) meas ...
... where Ait (Bit) is the quoted ask (bid) price for stock i at time t, and Mit is the midpoint of the quoted ask and bid prices. Relative quoted spreads are likely to be biased estimators of trading costs, because trades do not always occur at the posted quotes. The relative effective spread (ES) meas ...
The Importance of Emerging Capital Markets
... innovations (such as global offerings and changes to the financial infrastructure) helped to fuel the process. As dramatic as these changes have been, emerging financial markets still reflect a continuum of market conditions. Some markets are maturing and on course toward converging and integrating ...
... innovations (such as global offerings and changes to the financial infrastructure) helped to fuel the process. As dramatic as these changes have been, emerging financial markets still reflect a continuum of market conditions. Some markets are maturing and on course toward converging and integrating ...
VaR Exceedances at Large Financial Institutions
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
A Beginners` Guide to Commodity Market
... volume, open interest or other statistical indicators of price movement. See also Technical Analysis Circuit Breaker A system of trading halts and price limits on equities and derivatives markets designed to provide a cooling-off period during large, intraday market declines or rises. Clearing Membe ...
... volume, open interest or other statistical indicators of price movement. See also Technical Analysis Circuit Breaker A system of trading halts and price limits on equities and derivatives markets designed to provide a cooling-off period during large, intraday market declines or rises. Clearing Membe ...
"Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements"
... stock market remains inefficient. Stocks but not bonds react to announcements of the predictable component of news reports based on anchoring bias. A 1 standard deviation positive {negative} value of the predictable component elicits a statistically significant 1.5 basis points increase {decrease} ...
... stock market remains inefficient. Stocks but not bonds react to announcements of the predictable component of news reports based on anchoring bias. A 1 standard deviation positive {negative} value of the predictable component elicits a statistically significant 1.5 basis points increase {decrease} ...
Market-Wide Impact of the Disposition Effect: Evidence from IPO
... The last two sections in Table 2 present the descriptive statistics for these subsamples. Firms in the winner subsample are similar to winners overall, with a median market capitalization of $57.7 million. The size of the median firm in the loser subsample corresponds to that of losers overall ($34. ...
... The last two sections in Table 2 present the descriptive statistics for these subsamples. Firms in the winner subsample are similar to winners overall, with a median market capitalization of $57.7 million. The size of the median firm in the loser subsample corresponds to that of losers overall ($34. ...
Table of Contents
... and you do not have sufficient margin, you may be called upon to top up additional margin on short notice in order to maintain your position. Should you fail to do so within the specified time, your position may be liquidated at a loss and you will be liable for any resulting deficit in your trading ...
... and you do not have sufficient margin, you may be called upon to top up additional margin on short notice in order to maintain your position. Should you fail to do so within the specified time, your position may be liquidated at a loss and you will be liable for any resulting deficit in your trading ...
Option traders use (very) sophisticated heuristics, never the Blackâ
... of future outcomes—in addition to a collection of assumptions that, we will see, are highly invalid mathematically, the main one being the ability to cut the risks using continuous trading which only works in the very narrowly special case of thin-tailed distributions (or, possibly, jumps of a well- ...
... of future outcomes—in addition to a collection of assumptions that, we will see, are highly invalid mathematically, the main one being the ability to cut the risks using continuous trading which only works in the very narrowly special case of thin-tailed distributions (or, possibly, jumps of a well- ...
Morning Briefing Global Economic Trading Calendar
... IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading ...
... IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading ...
Investment Basics XLVI. On estimating the beta coefficient
... It should be noted that the market model is not based on any assumptions about investment behaviour but simply posits a linear relationship between stock returns and the market return. Figure 1 and Figure 2 show the scatter diagrams for the returns on two stocks Anglo American and SAB Miller, regres ...
... It should be noted that the market model is not based on any assumptions about investment behaviour but simply posits a linear relationship between stock returns and the market return. Figure 1 and Figure 2 show the scatter diagrams for the returns on two stocks Anglo American and SAB Miller, regres ...
Another Look at Risks in Financial Group Structures
... theory, subject to the limits allowed by law or regulation, where integration can occur across products, across sectors, or across borders. At one end of this spectrum would be complete specialisation, as reflected, for example, in a single-sector, single-product institution, such as a mortgage brok ...
... theory, subject to the limits allowed by law or regulation, where integration can occur across products, across sectors, or across borders. At one end of this spectrum would be complete specialisation, as reflected, for example, in a single-sector, single-product institution, such as a mortgage brok ...
Modeling Price Differentials between A Shares and H Shares on the
... The Financial literature has, in recent years, explored the distinct price behaviours on stocks that are simultaneously traded in China’s segmented markets1. Among these studies, the price differentials among different classes of shares have been of concern. Bailey (1994) first documented that price ...
... The Financial literature has, in recent years, explored the distinct price behaviours on stocks that are simultaneously traded in China’s segmented markets1. Among these studies, the price differentials among different classes of shares have been of concern. Bailey (1994) first documented that price ...
19. Investments 3: Securities Market Basics
... instruments. The main organized stock exchanges are the New York Stock Exchange and the American Stock Exchange. There are also regional stock exchanges, such as the Pacific, Chicago, Philadelphia, Cincinnati, Intermountain, Spokane, and Boston Stock Exchanges, but these are very small. The largest ...
... instruments. The main organized stock exchanges are the New York Stock Exchange and the American Stock Exchange. There are also regional stock exchanges, such as the Pacific, Chicago, Philadelphia, Cincinnati, Intermountain, Spokane, and Boston Stock Exchanges, but these are very small. The largest ...
INDEX METHODOLOGY
... BLOOMBERG, the Bloomberg Dollar Spot Index, the Bloomberg British Pound Index and the Bloomberg Euro Index (the “Indices”) are trademarks or service marks of Bloomberg Finance L.P. and its affiliates (“collectively, “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary right in the In ...
... BLOOMBERG, the Bloomberg Dollar Spot Index, the Bloomberg British Pound Index and the Bloomberg Euro Index (the “Indices”) are trademarks or service marks of Bloomberg Finance L.P. and its affiliates (“collectively, “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary right in the In ...
Stock Price Predictability
... degree by return predictability, even when the amount of predictability, as measured by R-squared, is small. The second category of semi-strong form predictor variables for stock returns includes calendar and seasonal effects. The list of effects that have been related to stock returns and the list ...
... degree by return predictability, even when the amount of predictability, as measured by R-squared, is small. The second category of semi-strong form predictor variables for stock returns includes calendar and seasonal effects. The list of effects that have been related to stock returns and the list ...
Trading room
A trading room gathers traders operating on financial markets. The trading room is also often called the front office. The terms ""dealing room"" and ""trading floor"" are also used, the latter being inspired from that of an open outcry stock exchange. As open outcry is gradually replaced by electronic trading, the trading room gets the only living place that is emblematic of the financial market. It is also the likeliest place within the financial institution where the most recent technologies are implemented before being disseminated in its other businesses.