... likely to drop with trades. On the other hand, if investors trade because they do not agree
with each other about asset prices, asset prices are less likely to converge and may be
oscillating. Thus, volatilities will increase with trading volume.
Of all the potential explanations for reasons of tra ...
“Audit and Non-audit Fees inGermany – Impact of Audit Market
... ‘small’ audit client segment is highly competitive because the number of potential suppliers is relatively large compared to the ‘large’ audit client segment, whereas the
‘large’ audit client segment is less competitive because the number of potential suppliers is usually restricted to the Big X, cu ...
Causes and Consequences of Margin Levels in Futures Markets
... I use a novel data set on margin requirements, obtained through a Freedom of Information
Act request, for 16 commodity futures contracts over the period 2000–2011 to explore how
margins are set and to test the existing theories on the implications of changing margin
levels. Margins are important fo ...
Why do foreign firms leave US equity markets?
... exchange listings were affected adversely by SOX at all seems to depend on the benchmark used. For
some benchmarks, there is a negative wealth effect of SOX for foreign listed firms as well as for
deregistering firms, but for other benchmarks there is no such effect. A reasonable assessment of the
Bid-ask spread components on the foreign exchange market: The
... This thesis is written in order to obtain my second master’s degree in Business Engineering with a
major in Finance. The subject was chosen because it had so many different elements in it which could
provide me with the necessary variation during the whole period I worked on it and because I have a
Quantitative Easing and Volatility Spillovers across
... global financial system has increased.
More importantly, we find that US quantitative easing is the primary driver of volatility spillovers
from the US to the rest of the world: it alone can explain 40% to 55% of variation in spillover. The
addition of US short rate and currency factors increases ex ...
The Impact of Hidden Liquidity in Limit Order Books
... Many limit order markets use a market design that allows traders to submit hidden liquidity. The
option to submit hidden liquidity alongside the visible liquidity makes the strategic interaction
between different market participants more complicated and raises a number of questions. To what
extent c ...
Page 1 of 5 Q1 2017 100.00% 95.64% 3.93% 0.43% 90.72
... UBS Financial Services Inc. has prepared this report pursuant to a U.S. Securities and Exchange Commission rule requiring all brokerage firms to make
publicly available quarterly reports on their order routing practices. The report provides information on the routing of “non-directed orders” – any o ...
Make and Take Fees in the US Equity Market
... traders change their quotes such that the effect of the fee is completely offset. Alternatively,
Colliard and Foucault (2012) show that an increase in the total fee can be associated with
increased trading activity due to heterogeneous patience across investors. With a fee increase,
patient investo ...
Determinants of market reactions to restatement announcements
... reports qualiﬁed for uncertainties, higher debt, fewer income-increasing GAAP
alternatives, and more diffuse ownership.
Other concurrent research provides descriptive data on restating companies and
restatement characteristics. For example, based on a sample of both earning
announcement revisions an ...
Speculation and Risk Sharing with New Financial Assets
... diversi…cation and the sharing of risks.1 However, this view does not take into account that
new assets are often associated with much uncertainty, especially because they do not have a
long track record. Belief disagreements come as a natural by-product of this uncertainty and
change the implicatio ...
Dark pools in European equity markets
... orders to buy or sell at different prices.
Dark pools have grown in response to investors’ demands for protection against
information leakage in a rapidly changing trading environment. Regulation making
more pre-trade transparency mandatory on the majority of European equity trading
venues (MiFID I) ...
Growth Options, Limited Risk Sharing, and Asset Prices
... assets associated with innovations such as blueprints and research and development (R&D) projects. The
investment decision is an option that the firm exercises optimally only when it receives an investment
opportunity. Their investment opportunities arrive randomly over time and are subject to firm- ...
Trading Volume Reaction to the Earnings Reconciliation from IFRS
... accounting, the value-relevance literature’s reported associations between accounting
numbers and common equity valuations have limited implications or inferences for
standard setting: they are mere associations.” On the contrary, the short-term reaction
study of trading volume enables us to directl ...
Decimalization, trading costs, and information transmission between
... the effect of an increase in tick size of S&P 500 futures. They find
increases in the S&P 500 futures bid–ask spreads, but the spreads
remain low relative to those of S&P 500 ETFs, which is consistent with
the empirical results here. DeJong and Donders (1998) examine the relations between futures, o ...
2 - Goethe-Universität
... the securities markets
(bonds, and stocks).
• An investor will only pay a
price that reflects the
average quality of firms.
• Bad firms are happy to
take loans from investors.
• Good firms are not willing
to borrow on this market.
Do retail traders suffer from high frequency traders?
... spread, which is a standard measure of market quality, would not help those that switch
from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a particular group of traders, such as unsophisticated
retail traders, then one may worry th ...
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 ...
Financial System Risk and Flight to Quality
... of the Fall of 1998 beginning with the Russian default and ending with the bailout of LTCM; as well as
the events that followed the attacks of 9/11. Behind each of these episodes lies the specter of a meltdown
that may lead to a prolonged slowdown as in Japan during the 1990s, or even a catastrophe ...
Hedging With Futures Contract
... been criticized for not taking into account the expected return which is
inconsistent with the mean-variance framework. Since the selection of a
hedge ratio is dependent on the hedgers’ objective in the hedging position,
this will be different for various participants in the carbon market. For exam ...
Quote Stuffing - Mississippi State University`s College of Business
... sample includes all trades and quotes for NYSE- and NASDAQ-listed stocks for all trading days in
2010. We apply conventional filters to TAQ, excluding trades and quotes that are coded as
having an error or a correction, or are reported out of time sequence. In addition, we omit a
quote if the bid is ...
In financial economics, the efficient-market hypothesis (EMH) states that it is impossible to ""beat the market"" because stock market efficiency causes existing share prices to always incorporate and reflect all relevant information. According to the EMH, stocks always trade at their fair value on stock exchanges, making it impossible for investors to either purchase undervalued stocks or sell stocks for inflated prices. As such, it should be impossible to outperform the overall market through expert stock selection or market timing, and that the only way an investor can possibly obtain higher returns is by purchasing riskier investments.The following are the main assumptions for a market to be efficient:A large number of investors analyze and value securities for profit.New information comes to the market independent from other news and in a random fashion.Stock prices adjust quickly to new information.Stock prices should reflect all available information.Financial theories are subjective. In other words, there are no proven laws in finance, but rather ideas that try to explain how the market works.There are three major versions of the hypothesis: ""weak"", ""semi-strong"", and ""strong"". The weak form of the EMH claims that prices on traded assets (e.g., stocks, bonds, or property) already reflect all past publicly available information. The semi-strong form of the EMH claims both that prices reflect all publicly available information and that prices instantly change to reflect new public information. The strong form of the EMH additionally claims that prices instantly reflect even hidden or ""insider"" information.Critics have blamed the belief in rational markets for much of the late-2000s financial crisis. In response, proponents of the hypothesis have stated that market efficiency does not mean having no uncertainty about the future, that market efficiency is a simplification of the world which may not always hold true, and that the market is practically efficient for investment purposes for most individuals.