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Over the last decade, the volume of market-on-close orders has increased to more than 10% of the entire day's trading volume. This paper investigates this rise and documents four stylized facts: (i) passive investing leads to greater usage of market-on-close orders, consistent with passive...
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contributes to increasing interest in portfolio auction protocols …
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is designed to provide students with an understanding of the decision to use a private auction to sell a large portfolio … estate by private auction is the basis for a study of excellent negotiating and good lawyering on the part of attorneys for … story of how the decision to sell the real estate using an auction was reached and the bankruptcy court's approval process …
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increasing interest in portfolio auction protocols …
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This paper proposes a two-stage sealed-bid model for the execution of blind portfolios. An asset manager auctions a package of securities to a set of brokers who are unaware of the specific details about individual securities. We prove that our mechanism reduces the costs of execution for the...
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