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Liquidity provision and stock return predictability

Hendershott, Terrence; Seasholes, Mark S. - In: Journal of Banking & Finance 45 (2014) C, pp. 140-151

This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …

Persistent link: https://www.econbiz.de/10011065626

Another look at trading costs and short-term reversal profits

de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...

Persistent link: https://www.econbiz.de/10010577945

Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case

Farinha, Jorge; Basílio, Nuno Filipe - Faculdade de Economia, Universidade do Porto - 2006

of liquidity, risk, signaling and ideal price range explanations that could justify the sizeable cumulative abnormal …, however, that liquidity reasons do not seem to be sufficient to explain the observed abnormal returns around the ex-date. A … directed at splitting firm. This confirmed that liquidity increases were indeed one of the main objectives pretended by the …

Persistent link: https://www.econbiz.de/10005059429

Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets

Oehler, Andreas; Heilmann, Klaus; Läger, Volker - University of Bamberg, Chair of Finance - 2001

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …

Persistent link: https://www.econbiz.de/10009211011

Individual investors and volatility

Foucault, Thierry; Themar, David; Sraer, David - HEC Paris (École des Hautes Études Commerciales) - 2008

In this paper, the authors test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders.

Persistent link: https://www.econbiz.de/10005011532

Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle

Doran, James; Jiang, Danling; Peterson, David - Volkswirtschaftliche Fakultät, … - 2007

The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...

Persistent link: https://www.econbiz.de/10005621852

Individual Investors and Volatility

Foucault, Thierry; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2008

We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders. To this end, we consider a reform that makes short selling or buying on margin more expensive for retail investors relative to institutions, for a...

Persistent link: https://www.econbiz.de/10005114244

Market making, price formation, and technical trading

Farmer, Doyne; Geanakoplos, John; Melby, Paul - Society for Computational Economics - SCE - 2001

We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...

Persistent link: https://www.econbiz.de/10005537750

The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms’ stocks.

Johansson, Anders; Rolseth, Lars - Nationalekonomiska institutionen, Handelshögskolan - 1999

In this essay we model the returns for 14 large Swedish firms' stocks with a conditional multifactor model with time-varying beta terms. The data are monthly and the sample period is June 1992 to August 1997. The beta terms are modelled as linear functions of predetermined firm attributes, which...

Persistent link: https://www.econbiz.de/10005423914

A Prospect-Theoretical Interpretation of Momentum Returns

Menkhoff, Lukas; Schmeling, Maik - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2006

The puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance. If we consider, however, risk in higher-order statistical moments, momentum returns appear less advantageous. Thus, a prospect-theoretical assessment of US stock momentum...

Persistent link: https://www.econbiz.de/10005405254