The prices of ETNs often significantly exceed their indicative values. Since ETNs share many features in common with zero-coupon bonds, this empirical finding is unexpected. (Adopting the language of Wright, Diavatopoulos, and Felton (2010), we refer to this as the negative WDFD puzzle.) Using a...

Background: The financial futures market in India is relatively new. The major advantage of derivatives as financial products is that their use minimizes the risks associated with securities. However, hedging effectiveness requires understanding key market signals such as trading margins, credit...

We use high-frequency data from the Nasdaq exchange to build a measure of volume imbalance in the limit order book (LOB). We show that our measure is a good predictor of the sign of the next market order (MO), i.e. buy or sell, and also helps to predict price changes immediately after the...

Models of financial economists including Karpoff (1986), Varian (1989), Holthausen and Verrecchia (1990), and Dontoh and Ronen (1993) have demonstrated that there are three distinct fundamental determinants of trading volume reaction to new information releases: first, the extent of differences...

The discount control mechanisms that closed-end funds often choose to adopt before IPO are supposedly implemented to narrow the difference between share price and net asset value, We find evidence that non-discretionary discount control mechanisms such as mandatory continuation votes serve as...

I examine the implications of nondisclosure in a setting where there is a credible signal of the proprietary nature of the undisclosed information. Specifically, I investigate market and analyst responses to firms' application to the Securities and Exchange Commission (SEC) for a confidential...

This study attempts to examine the relevance of dividend policy and information asymmetry from the Signaling Perspective and compare the relative information content of them. Based on sampling, 88 firms from Tehran Stock Exchange (TSE) were selected and examined during 2003 to 2010. The findings...

This paper examines a class of signaling games with multi-dimensional private information to study how the prior, joint distribution of the private information variables affect a signal's effectiveness in revealing information about these variables. To illustrate the general problem investigated...

We study how signaling affects equilibrium outcomes and welfare in markets with adverse selection. Using data from an online credit market, we estimate a model of borrowers and lenders where low reserve interest rates can signal low default risk. Comparing a market with and without signaling...

We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's lambda, the price sensitivity to the order flow, can even be nonmonotonic, depending...