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This paper analyzes mean reversion in the stock markets of 18 OECD countries during the years 1900–2009. In this period it takes stock prices about 18.5 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean...
Persistent link: https://www.econbiz.de/10010869429
This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are nonðnegligible: 20 basis points for buys and 26 basis points for sells. Furðthermore, we show that (relative) trade size and market capitalization, commonly...
Persistent link: https://www.econbiz.de/10005451439
This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are non­negligible: 20 basis points for buys and 26 basis points for sells. Fur­thermore, we show that (relative) trade size and market capitalization, commonly...
Persistent link: https://www.econbiz.de/10010783194
The Panzar-Rosse test has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...
Persistent link: https://www.econbiz.de/10011009873
Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. Consequently, reducing the trading costs of comparatively few expensive trades would already result in substantial savings on total trading costs. Since trading costs depend to some...
Persistent link: https://www.econbiz.de/10005635499
The Panzar-Rosse model has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...
Persistent link: https://www.econbiz.de/10008506796
Persistent link: https://www.econbiz.de/10005311516
The Panzar-Rosse model has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...
Persistent link: https://www.econbiz.de/10010607771
Persistent link: https://www.econbiz.de/10007757984
Persistent link: https://www.econbiz.de/10007904332