Showing 1 - 10 of 87
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010958715
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010958522
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010958491
that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …
Persistent link: https://www.econbiz.de/10010958533
externality: if speculators refrain from trading, hedgers do the same, depressing the asset price. Market transparency reinforces … disclosure of fundamentals and trading transparency. Issuers may either under- or over-provide information compared to the …
Persistent link: https://www.econbiz.de/10010961636
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10010986383
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010986418
This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...
Persistent link: https://www.econbiz.de/10010986493
We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and...
Persistent link: https://www.econbiz.de/10010958550
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10010958725