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Companies whose names contain the words “America(n)” or “USA” earn positive abnormal returns of about 6% per annum during World War II, the Korean War, and the War on Terrorism. These abnormal returns are not realized immediately upon the outbreak of each of the wars but are accumulated...
Persistent link: https://www.econbiz.de/10011047533
Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing...
Persistent link: https://www.econbiz.de/10008872549
Persistent link: https://www.econbiz.de/10009150120
Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this has on price efficiency. We find that HFT...
Persistent link: https://www.econbiz.de/10011185232
We study the impact of the recent global financial crisis on CHAPS, the United Kingdom’s large-value payments system. Core infrastructures functioned smoothly throughout the crisis and settlement banks continued to meet their payment obligations. However, payments data show that in the two...
Persistent link: https://www.econbiz.de/10011188970
Designated market makers (DMMs) have traditionally been a source of liquidity for exchange-traded securities and financial contracts. Recent regulatory and technological developments, however, have changed the environment in which DMMs operate, raising questions about their place in the new...
Persistent link: https://www.econbiz.de/10010839079
In this paper, we review the literature on private benefits and cross-listings in the United States. We first discuss the alternative approaches used to measure private benefits. We survey recent evidence documenting cross-country differences in the levels of private benefits obtained by...
Persistent link: https://www.econbiz.de/10005718743
Persistent link: https://www.econbiz.de/10005180222
We analyse the intraday behaviour of high-frequency traders (HFTs) and its impact on aspects of market quality such as liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the period of a randomly selected week. Our data...
Persistent link: https://www.econbiz.de/10008837899
We use payments data for the period 2006-09 to study the impact of the global financial crisis on payment patterns in CHAPS, the United Kingdom’s large-value wholesale payments system. CHAPS functioned smoothly throughout the crisis and all CHAPS settlement banks continued to meet their...
Persistent link: https://www.econbiz.de/10010704382