Word - corporate
... Decimalization and Regulation NMS—sought to increase competition and efficiencies among markets in order to improve execution quality and lower trading costs. As the markets decentralized and became more electronic, stock trading dispersed across tens of public and private markets. Greater transpare ...
... Decimalization and Regulation NMS—sought to increase competition and efficiencies among markets in order to improve execution quality and lower trading costs. As the markets decentralized and became more electronic, stock trading dispersed across tens of public and private markets. Greater transpare ...
How Quickly Do Markets Learn? Private Information Dissemination
... Our study makes a distinct contribution to the vast literature on information and asset pricing by making usually unobservable private information the subject of empirical tests, complementing the common approaches that rely on transaction and order flow information (for a comprehensive survey, see ...
... Our study makes a distinct contribution to the vast literature on information and asset pricing by making usually unobservable private information the subject of empirical tests, complementing the common approaches that rely on transaction and order flow information (for a comprehensive survey, see ...
Trading and Returns under Periodic Market Closures
... price to increase during the day, the return over trading periods is higher than the return over nontrading periods. Also, trading reveals investors' private information, which moves the price; hence returns over the trading periods tend to be more volatile than returns over the nontrading periods. ...
... price to increase during the day, the return over trading periods is higher than the return over nontrading periods. Also, trading reveals investors' private information, which moves the price; hence returns over the trading periods tend to be more volatile than returns over the nontrading periods. ...
Futurization of Swaps
... There is some merit to the view that the futurization of swaps is consistent with Dodd-Frank’s objectives, because futures transactions are conducted on exchanges and centrally cleared. But this outcome was not one that Congress anticipated. In addition, the futurization of swaps poses several polic ...
... There is some merit to the view that the futurization of swaps is consistent with Dodd-Frank’s objectives, because futures transactions are conducted on exchanges and centrally cleared. But this outcome was not one that Congress anticipated. In addition, the futurization of swaps poses several polic ...
Securities and Secrets: Insider Trading and the Law of Contracts
... will spend to police the activity,1 ' and, second, because the more protective the security rules are of investors' interests, the less likely they are to shy away from the capital market. 15 More frequently, however, commentators treat fairness as a distinct goal of securities law.1" Yet, these com ...
... will spend to police the activity,1 ' and, second, because the more protective the security rules are of investors' interests, the less likely they are to shy away from the capital market. 15 More frequently, however, commentators treat fairness as a distinct goal of securities law.1" Yet, these com ...
A Model of Excess Volatility in Large Markets
... Excess volatility –price movements not easily explained by changes in fundamentals –seems prevalent in modern stock markets (West 1988, Shiller 2003, 2014). Moreover, extreme episodes of excess volatility, such as bubbles and crises, are observed even in markets with a very large number of traders. ...
... Excess volatility –price movements not easily explained by changes in fundamentals –seems prevalent in modern stock markets (West 1988, Shiller 2003, 2014). Moreover, extreme episodes of excess volatility, such as bubbles and crises, are observed even in markets with a very large number of traders. ...
Deterrence - Investor Voice, Securities Regulation in Canada
... insider trading broadly as trading on inside information, being material facts or changes that have not been publicly disclosed through a media report or other official means of general dissemination. It is difficult, however, to determine how much of that trading would represent illegal insider tra ...
... insider trading broadly as trading on inside information, being material facts or changes that have not been publicly disclosed through a media report or other official means of general dissemination. It is difficult, however, to determine how much of that trading would represent illegal insider tra ...
What Causes Herding: Information Cascade or Search Cost ?
... superior returns. As everyone follows his signal, rational herding cannot occur. Note that not trading is never optimal (unless one introduces transaction costs) because subjects always have an informational advantage over the market maker. Alternatively, VW proposed a model with two assets traded i ...
... superior returns. As everyone follows his signal, rational herding cannot occur. Note that not trading is never optimal (unless one introduces transaction costs) because subjects always have an informational advantage over the market maker. Alternatively, VW proposed a model with two assets traded i ...
does anonymity matter in electronic limit order markets?1
... In the last decade, the security industry has witnessed a proliferation of electronic trading systems. Several of these new trading venues (e.g. Island for equity markets, Reuters D2000-2 for the foreign exchange market or MTS in bond markets) are organized as limit order markets where traders can e ...
... In the last decade, the security industry has witnessed a proliferation of electronic trading systems. Several of these new trading venues (e.g. Island for equity markets, Reuters D2000-2 for the foreign exchange market or MTS in bond markets) are organized as limit order markets where traders can e ...
Market vs. Residence Principle
... study the effects of a FTT in an experimental financial market. The former find an increase in informational efficiency, but hardly any effects on market volatility. The latter investigate the effects of a FTT on market efficiency through informational cascades. They report no effects on market efficiency in th ...
... study the effects of a FTT in an experimental financial market. The former find an increase in informational efficiency, but hardly any effects on market volatility. The latter investigate the effects of a FTT on market efficiency through informational cascades. They report no effects on market efficiency in th ...
Funding Constraints, Market Liquidity, and Financial Crises
... called in their stock loans. The action could trigger a liquidity spiral and lead to a financial crisis. US financial markets were particularly vulnerable to a financial crisis during the fall harvest season. Indeed, some of the largest financial crisis of the nineteenth and early twentieth century ...
... called in their stock loans. The action could trigger a liquidity spiral and lead to a financial crisis. US financial markets were particularly vulnerable to a financial crisis during the fall harvest season. Indeed, some of the largest financial crisis of the nineteenth and early twentieth century ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... IEM markets we examine are two-sided markets with an intermediate horizon (up to 5 weeks). News about relative payoff probabilities is revealed during trading on the IEM. Traders can synthetically short sell in the IEM.5 Because IEM traders know the price at the time they trade, they effectively kno ...
... IEM markets we examine are two-sided markets with an intermediate horizon (up to 5 weeks). News about relative payoff probabilities is revealed during trading on the IEM. Traders can synthetically short sell in the IEM.5 Because IEM traders know the price at the time they trade, they effectively kno ...
Informed Trade, Uninformed Trade, and Stock Price Delay Narelle
... Firstly, we provide new empirical evidence regarding the channel by which trading affects the speed at which stock prices adjust to information. Distinguished from the previous research focusing on the influence of informed trading (Holden and Subrahmanyam1992; Chordia and Swaminathan 2004), this re ...
... Firstly, we provide new empirical evidence regarding the channel by which trading affects the speed at which stock prices adjust to information. Distinguished from the previous research focusing on the influence of informed trading (Holden and Subrahmanyam1992; Chordia and Swaminathan 2004), this re ...
The Impact of Derivatives on Cash Markets: What Have We
... seasonal fluctuations. When speculators enter, they accelerate price movements by buying when prices are rising, and selling while prices are falling. The model captures the popular intuition that speculators are momentum traders. By modern standards, Baumol’s (1957) model seems awkward—there is no ...
... seasonal fluctuations. When speculators enter, they accelerate price movements by buying when prices are rising, and selling while prices are falling. The model captures the popular intuition that speculators are momentum traders. By modern standards, Baumol’s (1957) model seems awkward—there is no ...
pressrelease
... Tech Trade AB (shortname: CBTT B) shares commenced today on First North at Nasdaq Stockholm. Christian Berner Tech Trade belongs to the Industrials sector and is the 35th company to be admitted to trading on First North’s Nordic markets (Stockholm, Helsinki, Copenhagen and Iceland) in 2014. Chris ...
... Tech Trade AB (shortname: CBTT B) shares commenced today on First North at Nasdaq Stockholm. Christian Berner Tech Trade belongs to the Industrials sector and is the 35th company to be admitted to trading on First North’s Nordic markets (Stockholm, Helsinki, Copenhagen and Iceland) in 2014. Chris ...
An international trend in market design: Endogenous effects of limit
... Euronext, Tokyo and Korea, is plausible if the narrower spreads are a result of more aggressive orders in a transparent market. Empirical support is found in Duong, Kalev and Krishnamurti (2009 ), who find that in Australia, traders posted more aggressive orders during a previous regime with visibl ...
... Euronext, Tokyo and Korea, is plausible if the narrower spreads are a result of more aggressive orders in a transparent market. Empirical support is found in Duong, Kalev and Krishnamurti (2009 ), who find that in Australia, traders posted more aggressive orders during a previous regime with visibl ...
The effect of short interest on the subsequent stock
... subsequent stock returns. Similarly, Smith (1968) could not find a significant relationship. Smith also used a size variable in order to account for the supply of stocks available and reported that a smaller supply led to a bigger price impact of short interest levels. In addition to prior findings, ...
... subsequent stock returns. Similarly, Smith (1968) could not find a significant relationship. Smith also used a size variable in order to account for the supply of stocks available and reported that a smaller supply led to a bigger price impact of short interest levels. In addition to prior findings, ...
Price Impact of Block Trades in the Saudi Stock Market
... Trading in the market is only for common stocks, there is no options market and short selling is not allowed. The distinctive characteristics of large market size and trading volume relative to the number of companies combined with the absence of institutional investors, its ongoing development and ...
... Trading in the market is only for common stocks, there is no options market and short selling is not allowed. The distinctive characteristics of large market size and trading volume relative to the number of companies combined with the absence of institutional investors, its ongoing development and ...
Intraday Returns and the Day-end Effect: Evidence from
... managers, speculators and daily traders with large amount money to change the closing prices. If a fund manager takes a big net position for his client over the trading day, there is always a possibility that he will likely attempt to change the closing price in his clients favor. He will place a bu ...
... managers, speculators and daily traders with large amount money to change the closing prices. If a fund manager takes a big net position for his client over the trading day, there is always a possibility that he will likely attempt to change the closing price in his clients favor. He will place a bu ...
Would a Stock By Any Other Ticker Smell as Sweet? Alex Head
... symbol CVF, briefly fell 32% after the Financial Times published a report of impending losses for the Czech Value Fund, which it abbreviated in the text as CVF. A 1998 Barron’s article was bullish on the Morgan Stanley Asia Pacific Fund, but the ticker symbol was misprinted as APB, ...
... symbol CVF, briefly fell 32% after the Financial Times published a report of impending losses for the Czech Value Fund, which it abbreviated in the text as CVF. A 1998 Barron’s article was bullish on the Morgan Stanley Asia Pacific Fund, but the ticker symbol was misprinted as APB, ...
Liquidation Strategies in a Long-Short Equity Portfolio
... Financial assets are similar to any other traded good in that prices are determined by supply and demand. At any given price, there are only a limited number of potential buyers and sellers and thus a limited volume that can be traded at that price. If an investor wants to buy (or sell) a larger vol ...
... Financial assets are similar to any other traded good in that prices are determined by supply and demand. At any given price, there are only a limited number of potential buyers and sellers and thus a limited volume that can be traded at that price. If an investor wants to buy (or sell) a larger vol ...
Listing on the FTSE-100: Does it matter?
... We first examine the long-term benefit to a stock of being included in the FTSE 100 Index. It is possible that increased investor interest, either as a result of index tracking or increased publicity, has a positive impact on the long-run stock returns of firms included in the index. Similarly, we m ...
... We first examine the long-term benefit to a stock of being included in the FTSE 100 Index. It is possible that increased investor interest, either as a result of index tracking or increased publicity, has a positive impact on the long-run stock returns of firms included in the index. Similarly, we m ...
Market Turmoil and Destabilizing Speculation Supplementary Material
... This section investigates which types of funds are more likely to exploit increased uncertainty, with evidence in support of Hypotheses 2 and 3. The hypothesis suggested by the model is that the funds that are more prone to sell their holdings when uncertainty spikes are those most a¤ected by short- ...
... This section investigates which types of funds are more likely to exploit increased uncertainty, with evidence in support of Hypotheses 2 and 3. The hypothesis suggested by the model is that the funds that are more prone to sell their holdings when uncertainty spikes are those most a¤ected by short- ...
A monthly effect in stock returns - DSpace@MIT
... half contributing nothing to the cumulative increase. This "monthly effect" is independent of other known calendar anomalies such as the January effect (Roll, 1983; Keim, 1983) and appears to be caused by a shift in the mean of the distribution of returns from days in the first half of the month rel ...
... half contributing nothing to the cumulative increase. This "monthly effect" is independent of other known calendar anomalies such as the January effect (Roll, 1983; Keim, 1983) and appears to be caused by a shift in the mean of the distribution of returns from days in the first half of the month rel ...