Showing 1 - 10 of 16
The "quant crisis" of 2007 and subsequent unfolding of the global financial crisis highlighted the importance of the "crowded-trade" problem (not being able to know how many others are taking the same position). To investigate the crowded trading, we present a model in which informed and...
Persistent link: https://www.econbiz.de/10012910555
Given that corporate managers use stock prices as signals when making investment decisions, does market manipulation distort this process and impact corporate investment? We find that the increased prevalence of stock price manipulation has an economically meaningful negative effect on firms’...
Persistent link: https://www.econbiz.de/10014353801
Markets often experience liquidity deteriorations during financial crisis and improvements during reforms in trading rules. To explain these phenomena, we present a price formation model in which market makers are subject to ambiguity. When the market maker is sufficiently ambiguity averse, the...
Persistent link: https://www.econbiz.de/10012935016
This paper discusses the efficient market hypothesis and behavioral finance under a general framework using the literature of decision theories and information sciences. The focus is centered on the broad de nition of subjective rationality, the imprecision, and reliability of information. The...
Persistent link: https://www.econbiz.de/10012936195
Persistent link: https://www.econbiz.de/10014305957
We propose a state-space modeling approach for decomposing trading volume into its liquidity-driven and information-driven components. Using a set of high-frequency S&P 500 stock data, we show that informed trading is linked with a reduction in volatility, illiquidity, and toxicity/adverse...
Persistent link: https://www.econbiz.de/10012900185
Persistent link: https://www.econbiz.de/10012316347
Persistent link: https://www.econbiz.de/10012317879
Persistent link: https://www.econbiz.de/10015415593
Persistent link: https://www.econbiz.de/10015117945