Similar Search Results

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005

As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

Persistent link: https://www.econbiz.de/10010308662

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004

Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004: We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve...

Persistent link: https://www.econbiz.de/10010333878

Firm quality or market sentiment: What matters more for IPO investors?

Neupane, Suman; Paudyal, Krishna; Thapa, Chandra - In: Journal of Banking & Finance 44 (2014) C, pp. 207-218

This paper investigates the investment decisions of IPO investors when equipped with information on both the quality of the firm and the market sentiment. Unique regulatory provisions allow IPO investors in India to have access to the independent assessment of firm quality and information on the...

Persistent link: https://www.econbiz.de/10010785403

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

Persistent link: https://www.econbiz.de/10010957222

Does anonymity matter in electronic limit order markets ?

Thierry, FOUCAULT; Sophie, MOINAS; Erik, THEISSEN - HEC Paris (École des Hautes Études Commerciales) - 2003

We analyze the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...

Persistent link: https://www.econbiz.de/10005011558

Financial Intermediation and the Costs of Trading in an Opaque Market

Green, Richard C.; Hollifield, Burton; Schürhoff, Norman - Swiss Finance Institute - 2005

Municipal bonds trade in opaque, decentralized broker-dealer markets in which price information is costly to gather. Whether dealers in such a market operate competitively is an empirical issue, but a difficult one to study. Data in such markets is generally not centrally recorded. We analyze a...

Persistent link: https://www.econbiz.de/10005771778

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004

Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve...

Persistent link: https://www.econbiz.de/10005248997

Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises

Gründl, Helmut; Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007 …–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market … considerably enhance transparency in securitization transactions at the expense of some transaction costs, while reducing the need …

Persistent link: https://www.econbiz.de/10005207947

Does Transparency Harm Traders : Evidence from a Disclosure Regulation

Mukherjee, Saptarshi - 2013

Does transparency harm block traders? In 2004, Securities and Exchange Board of India (SEBI) mandated the disclosure of …

Persistent link: https://www.econbiz.de/10013089607

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

Persistent link: https://www.econbiz.de/10010361995