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Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian - 2016

Persistent link: https://www.econbiz.de/10012991263

Are Stock Markets Really so Inefficient? The Case of the 'Halloween Indicator'

Dichtl, Hubert - 2013

The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002)....

Persistent link: https://www.econbiz.de/10013077926

Arbitrage Bots in Experimental Asset Markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason M. - 2022

-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

Persistent link: https://www.econbiz.de/10013308153

Disclosure Quantity and the Efficiency of Price Discovery : Evidence from the Toronto Stock Exchange

Chung, Dennis Y. - 2016

The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks. Using a sample of large and actively traded Canadian companies listed on the Toronto Stock Exchange, the authors utilize annual reports filed on system for...

Persistent link: https://www.econbiz.de/10012979630

On the Efficiency of Intra-Industry Information Transfers : The Dilution of the Overreaction Anomaly

Chung, Dennis Y. - 2016

We revisit the stock market anomaly documented by Thomas and Zhang (2008) and show that the apparent mispricing of information transfers has decayed over time, as the US markets experienced rapid improvements in the efficiency of the underlying price formation processes. Utilizing recent...

Persistent link: https://www.econbiz.de/10012979631

The Economic Value of TIPS Arbitrage Mispricing

Dedes, Vasilis - 2020

literature attributes to mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing …

Persistent link: https://www.econbiz.de/10012844939

Experimental Asset Markets with An Indefinite Horizon

Duffy, John - 2020

We study indefinitely-lived assets in experimental markets and find that the traded prices of these assets are on average about 40% of the risk neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...

Persistent link: https://www.econbiz.de/10012848608

Asset Price Distributions and Efficient Markets

Fernholz, Ricardo - 2020

We explore the link between stock returns and changes in market capital concentration across firms. Our theory uncovers … of our theory is the necessary existence of this concentration risk factor, which also entails a size effect. Empirically …

Persistent link: https://www.econbiz.de/10012850583

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012868588

Do Firm-Specific Stock Price Crashes Lead to a Stimulation or Distortion of Market Information Efficiency?

Kim, Jeong-bon - 2020

We study the consequences of firm-specific stock price crashes (SPCs) by examining whether, and if so, how SPCs affect market information efficiency. This contrasts with prior research that focuses on firm-specific causes or determinants of SPCs. The tension underlying our research question...

Persistent link: https://www.econbiz.de/10012854761