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Secrieru, Oana - 2009

refer to hollowing-out as the situation where the target firm is shut down following a merger with a domestic or foreign … when a cross-border merger with hollowing out is not profitable but it is socially desirable. -- Economic models …

Persistent link: https://www.econbiz.de/10003933343

Market concentration and uniform pricing : evidence from bank mergers

Granja, João; Paixão, Nuno - 2021 - Last updated: February 11, 2021

to explain the deposit rate dynamics following bank mergers. We find a strong and sharp post-merger convergence between … their own deposit rates in the same direction. We find that pre-merger differences in deposit rates between merged entities … explain more of the post-merger evolution of deposit rates than the predicted changes in local market concentration induced by …

Persistent link: https://www.econbiz.de/10012430779

Speed segmentation on exchanges : competition for slow flow

Anderson, Lisa; Andrews, Emad; Devani, Baiju; Mueller, … - 2018

In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away...

Persistent link: https://www.econbiz.de/10011777738

Retail order flow segmentation

Garriott, Corey; Walton, Adrian - 2016

In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structural vector autoregression shows that the facility increased...

Persistent link: https://www.econbiz.de/10011456111

Building new plants or entering by acquisition? : estimation of an entry model for the U.S. cement industry

Perez-Saiz, Hector - 2011

In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and...

Persistent link: https://www.econbiz.de/10008808152

A model of costly capital reallocation and aggregate productivity

Cao, Shutao (contributor) - 2008

The author studies the effects of capital reallocation (the flow of productive capital across firms and establishments mainly through changes in ownership) on aggregate labour productivity. Capital reallocation is an important activity in the United States: on average, its total value is 34 per...

Persistent link: https://www.econbiz.de/10003773103

Idiosyncratic coskewness and equity return anomalies

Chabi-Yo, Fousseni; Yang, Jun - 2010

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

Persistent link: https://www.econbiz.de/10003981312

Short changed? : the market's reaction to the short sale ban of 2008

Gagnon, Louis; Witmer, Jonathan - 2009

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

Persistent link: https://www.econbiz.de/10003933290

Real time detection of structural breaks in GARCH models

He, Zhongfang; Maheu, John M. - 2009

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

Persistent link: https://www.econbiz.de/10003933353

Search frictions and asset price volatility

Ravikumar, B.; Shao, Enchuan - 2010

We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods. Special goods can be obtained only via a...

Persistent link: https://www.econbiz.de/10003933390