Asset Pricing When Traders Sell Extreme Winners and Losers
... An and Argyle (2015) find that mutual fund managers tend to sell in a V-shape in response to gains and losses. Hartzmark (2015) shows that investors are more likely to sell extreme winning and extreme losing positions in their portfolio; this is generally in line with the V-shape. Weisbrod (2015) co ...
... An and Argyle (2015) find that mutual fund managers tend to sell in a V-shape in response to gains and losses. Hartzmark (2015) shows that investors are more likely to sell extreme winning and extreme losing positions in their portfolio; this is generally in line with the V-shape. Weisbrod (2015) co ...
Essays in Financial Economics Sergey Iskoz
... issued by IPO underwriters. Further analysis indicates that conflicts of interest is an unlikely explanation for the favorable bias in underwriter analyst recommendations. Chapter 2 is joint work with professor Jiang Wang. In this essay, we develop a methodology to identify money managers who have p ...
... issued by IPO underwriters. Further analysis indicates that conflicts of interest is an unlikely explanation for the favorable bias in underwriter analyst recommendations. Chapter 2 is joint work with professor Jiang Wang. In this essay, we develop a methodology to identify money managers who have p ...
Collateral-Motivated Financial Innovation
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
The art of Japanese candlestick charting
... in existence throughout Japan. It was during this time period that trading based on candlestick charts became more refined. Following the commodity traders’ success with candlesticks, the Japanese later integrated these techniques into their stock market. Still later, after World War II, the chart b ...
... in existence throughout Japan. It was during this time period that trading based on candlestick charts became more refined. Following the commodity traders’ success with candlesticks, the Japanese later integrated these techniques into their stock market. Still later, after World War II, the chart b ...
The Art of Japanese Candlestick Charting By Brett Fogle
... in existence throughout Japan. It was during this time period that trading based on candlestick charts became more refined. Following the commodity traders’ success with candlesticks, the Japanese later integrated these techniques into their stock market. Still later, after World War II, the chart b ...
... in existence throughout Japan. It was during this time period that trading based on candlestick charts became more refined. Following the commodity traders’ success with candlesticks, the Japanese later integrated these techniques into their stock market. Still later, after World War II, the chart b ...
Proceedings of 7th Annual American Business Research Conference
... In order to account for the cause of the fall in stock prices due to delisting, Sanger and Peterson (1990) and Macey, O'Hara, and Pompilo (2008) among others propose the liquidity hypothesis. Noting that the bid-ask spread triples and the volatility doubles in the OTC market after involuntary delist ...
... In order to account for the cause of the fall in stock prices due to delisting, Sanger and Peterson (1990) and Macey, O'Hara, and Pompilo (2008) among others propose the liquidity hypothesis. Noting that the bid-ask spread triples and the volatility doubles in the OTC market after involuntary delist ...
NBER WORKING PAPER SERIES ON THE INCEPTION OF RATIONAL Behzad Diba
... expect to gain utility from selling the stock now and never buying it back. Tirole's argument assumes that, even if stockholders have infinite planning horizons, they would not plan to hold an overvalued asset——that is, one with a positive rational bubbles ...
... expect to gain utility from selling the stock now and never buying it back. Tirole's argument assumes that, even if stockholders have infinite planning horizons, they would not plan to hold an overvalued asset——that is, one with a positive rational bubbles ...
Investor Behaviour and Lottery Stocks
... The Bali et al (2011) extreme return criteria, albeit relatively simple, is not inconsistent with the approach investors are found to take in making investment decisions in existing studies. Odean (1998) find that the market under reacts to highly relevant and reliable information when it is abstra ...
... The Bali et al (2011) extreme return criteria, albeit relatively simple, is not inconsistent with the approach investors are found to take in making investment decisions in existing studies. Odean (1998) find that the market under reacts to highly relevant and reliable information when it is abstra ...
Investor Sentiment and Chinese A
... regulations and the investor composition. In China, the quality of financial data about listed companies are not reliable and it is not fully developed about the stock market‟s framework of regulatory. One of the most special institutional characters of the Chinese A-share stock market is the absolu ...
... regulations and the investor composition. In China, the quality of financial data about listed companies are not reliable and it is not fully developed about the stock market‟s framework of regulatory. One of the most special institutional characters of the Chinese A-share stock market is the absolu ...
Financial Market Bottlenecks and the
... other natural monopolies, FMIs dominate the markets that they serve. For example, two credit card networks finance the lion’s share of consumer transactions,4 while SWIFT is the primary payment messaging system among banks.5 Prior to the financial crisis, little attention was paid to FMIs. They had ...
... other natural monopolies, FMIs dominate the markets that they serve. For example, two credit card networks finance the lion’s share of consumer transactions,4 while SWIFT is the primary payment messaging system among banks.5 Prior to the financial crisis, little attention was paid to FMIs. They had ...
January 31, 2017 - Tortoise Index Solutions
... Derivatives Risk. Derivatives are financial contracts whose value depend on, or are derived from, the value of an underlying asset, reference rate, or index. The use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in sec ...
... Derivatives Risk. Derivatives are financial contracts whose value depend on, or are derived from, the value of an underlying asset, reference rate, or index. The use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in sec ...
Dynamic Allocation Strategies using Minimum Volatility
... with high VIX levels may coincide with periods of risk aversion in the market potentially resulting in outperformance of the minimum volatility portfolio. We set a value of 307 as the trigger to switch to the minimum volatility portfolio as this level has historically been associated with a high lev ...
... with high VIX levels may coincide with periods of risk aversion in the market potentially resulting in outperformance of the minimum volatility portfolio. We set a value of 307 as the trigger to switch to the minimum volatility portfolio as this level has historically been associated with a high lev ...
Top 10 Stock Screening Strategies That Make
... evaluating stocks, complete with eye-opening statistics.) There are also other screens that didn‘t make it into this booklet, for no other reason, other than we wanted to keep this guide short and to the point. (It’s “not meant to be an encyclopedia of screens”, I was reminded.) Plus, we didn’t want ...
... evaluating stocks, complete with eye-opening statistics.) There are also other screens that didn‘t make it into this booklet, for no other reason, other than we wanted to keep this guide short and to the point. (It’s “not meant to be an encyclopedia of screens”, I was reminded.) Plus, we didn’t want ...
Expiration Day Effects of the EURO STOXX 50 Index Futures and
... options and futures has changed abnormally the volume, the volatility and the returns on the underlying index. These effects are known in the literature as expiration day effects. Several empirical studies have reported significant volume, price and volatility effects around the expiration of index ...
... options and futures has changed abnormally the volume, the volatility and the returns on the underlying index. These effects are known in the literature as expiration day effects. Several empirical studies have reported significant volume, price and volatility effects around the expiration of index ...
U.S. Legal Considerations Affecting Global Offerings of Shares in
... Before proceeding to discuss registered public offerings and private placements, a word should be said about what is not treated here. This article does not discuss the requirements for obtaining a listing on a major U.S. stock exchange, such as the New York Stock Exchange or the American Stock Exch ...
... Before proceeding to discuss registered public offerings and private placements, a word should be said about what is not treated here. This article does not discuss the requirements for obtaining a listing on a major U.S. stock exchange, such as the New York Stock Exchange or the American Stock Exch ...
Capital Markets 2020 Will it change for good?
... Our survey of top capital markets executives which is part of the study, clearly demonstrates that leaders believe it is important to have a better understanding and a more clearly articulated vision of their place in the capital markets industry in 2020 than they do today. We wholeheartedly agree – ...
... Our survey of top capital markets executives which is part of the study, clearly demonstrates that leaders believe it is important to have a better understanding and a more clearly articulated vision of their place in the capital markets industry in 2020 than they do today. We wholeheartedly agree – ...
Investor Sentiment and Beta Pricing
... In financial markets, optimistic or pessimistic beliefs induced by sentiment should trigger unsophisticated (“noise”) trading, as postulated by Black (1986), and thus affect financial asset prices. However, there are reasons to believe that such trading will not be symmetric across optimistic and pe ...
... In financial markets, optimistic or pessimistic beliefs induced by sentiment should trigger unsophisticated (“noise”) trading, as postulated by Black (1986), and thus affect financial asset prices. However, there are reasons to believe that such trading will not be symmetric across optimistic and pe ...
Europe`s ETF Primary Market
... The ETF Arbitrage Mechanism “Only authorised participants (specialists, market makers, institutions) transact directly with the ETF. Participants and the ETF engage in ‘in-kind’ transactions, trading baskets of securities for very large blocks of shares called ‘creation units’. These transactions, ...
... The ETF Arbitrage Mechanism “Only authorised participants (specialists, market makers, institutions) transact directly with the ETF. Participants and the ETF engage in ‘in-kind’ transactions, trading baskets of securities for very large blocks of shares called ‘creation units’. These transactions, ...
The Impact of Foreign-Currency Movements on Equity
... redistributed, (3) do not constitute investment advice offered by Morningstar (4) are provided solely for informational purposes and therefore are not an offer to buy or sell a security, and (5) are not warranted to be accurate, complete, or timely. Morningstar shall not be responsible for any tradi ...
... redistributed, (3) do not constitute investment advice offered by Morningstar (4) are provided solely for informational purposes and therefore are not an offer to buy or sell a security, and (5) are not warranted to be accurate, complete, or timely. Morningstar shall not be responsible for any tradi ...
Decimals and Liquidity: A study of the NYSE
... act of decimalization on the NYSE as a natural experiment to determine its effect on variables related to market liquidity. According to the NYSE, the reduction in minimum price increment to sixteenths, in June 1997, was an interim step in a move toward the decimalization of prices and price increme ...
... act of decimalization on the NYSE as a natural experiment to determine its effect on variables related to market liquidity. According to the NYSE, the reduction in minimum price increment to sixteenths, in June 1997, was an interim step in a move toward the decimalization of prices and price increme ...
Technical Analysis
... Technical analysts believe that prices trend directionally, i.e., up, down, or sideways (flat) or some combination. The basic definition of a price trend was originally put forward by Dow Theory.[6] An example of a security that had an apparent trend is AOL from November 2001 through August 2002. A ...
... Technical analysts believe that prices trend directionally, i.e., up, down, or sideways (flat) or some combination. The basic definition of a price trend was originally put forward by Dow Theory.[6] An example of a security that had an apparent trend is AOL from November 2001 through August 2002. A ...
Cross-sectional volatility and return dispersion
... In the past few years, the return spread between successful and unsuccessful active managers has increased dramatically. Moreover, many investors have experienced manager and fund tracking errors that far exceeded expectations. These phenomena are not so much a result of managers taking larger bets ...
... In the past few years, the return spread between successful and unsuccessful active managers has increased dramatically. Moreover, many investors have experienced manager and fund tracking errors that far exceeded expectations. These phenomena are not so much a result of managers taking larger bets ...
Document
... the rebalancing process can capture. It does, however, help to maintain diversification and so alter the distribution of possible outcomes for the portfolio. The claim that rebalancing can “harvest a premium” even in the absence of mean reversion (and regardless of the target weights) is based on a ...
... the rebalancing process can capture. It does, however, help to maintain diversification and so alter the distribution of possible outcomes for the portfolio. The claim that rebalancing can “harvest a premium” even in the absence of mean reversion (and regardless of the target weights) is based on a ...
Active CDS Trading and Managers` Voluntary Disclosure
... We begin by comparing the sample of liquid CDS firms with a matched-firm control sample constructed using the propensity score matching methodology (PSM) and continue to find a significant effect of liquid CDSs on management forecast disclosure. We also employ an instrumental variables (IV) approac ...
... We begin by comparing the sample of liquid CDS firms with a matched-firm control sample constructed using the propensity score matching methodology (PSM) and continue to find a significant effect of liquid CDSs on management forecast disclosure. We also employ an instrumental variables (IV) approac ...
Speculation and Risk Sharing with New Financial Assets
... this example). In this case, traders will complement their positions in the Franc by taking the opposite positions in the Euro. This is because the complementary positions enable traders to hedge the risks that also a¤ect the Euro, which they don’t disagree about, and to take purer bets on the Franc ...
... this example). In this case, traders will complement their positions in the Franc by taking the opposite positions in the Euro. This is because the complementary positions enable traders to hedge the risks that also a¤ect the Euro, which they don’t disagree about, and to take purer bets on the Franc ...
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.