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Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

Persistent link: https://www.econbiz.de/10015213734

Information Exchange and the Limits of Arbitrage

Gray, Wesley - 2008

Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...

Persistent link: https://www.econbiz.de/10015215190

Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE

Bardong, Florian; Bartram, Söhnke M.; Yadav, Pradeep K. - 2005

We analyze commonality in informed trading across stocks, and how informed trading varies with the structural and trading characteristics of a firm. We thereby isolate the residual level of informed trading that is unrelated to commonality, trading characteristics, and structural...

Persistent link: https://www.econbiz.de/10015215769

Liquidity and Asset Prices

Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - 2005

test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical …

Persistent link: https://www.econbiz.de/10015222962

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10015231124

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10015231736

Evolution of security transaction tax in India

Sinha, Pankaj; Mathur, Kritika - 2012

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global Financial Crisis. This study examines the impact of an increase in the level of securities...

Persistent link: https://www.econbiz.de/10015233014

The dynamic relation between short sellers, option traders, and aggregate returns

Delisle, R. Jared; Lee, Bong Soo; Mauck, Nathan - 2012

Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements, rather than substitutes. Further, while a plethora of literature demonstrates both short sellers and option traders are informed traders, relatively little is known...

Persistent link: https://www.econbiz.de/10015234582

Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence

Halim, Edward; Riyanto, Yohanes Eko; Roy, Nilanjan - 2017

We design an experiment to study the implications of information networks for the incentive to acquire costly information, market liquidity, investors' earnings and asset price characteristics in a financial market. Social communication crowds out information production as a result of agent's...

Persistent link: https://www.econbiz.de/10015257078

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

Persistent link: https://www.econbiz.de/10015260519