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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/10012016546

Level shifts in beta, spurious abnormal returns and the TARP announcement

Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - 2018

Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...

Persistent link: https://www.econbiz.de/10012016622

Information in yield spread trades

Park, Yang-Ho - 2019

Using positions data on bond futures, I document that speculators' spread trades contain private information about … information about future payrolls. Steepening trades can also predict the rise of stock prices within a few hours before … highlights spread traders' superior information and its important role in explaining announcement returns and pre …

Persistent link: https://www.econbiz.de/10012018461

Do index funds monitor?

Heath, Davidson; Macciocchi, Daniele; Michaely, Roni; … - 2019 - This draft: April 23, 2019

Passively managed index funds now hold over 30% of U.S. equity fund assets; this shift raises fundamental questions about monitoring and governance. We show that, relative to active funds, index funds are less effective monitors: (a) they are less likely to vote against firm management on...

Persistent link: https://www.econbiz.de/10012003023

Strategic trading as a response to short sellers

Di Maggio, Marco; Franzoni, Francesco; Massa, Massimo; … - 2019 - This version: April, 2019

We study empirically whether short selling deters the incorporation of positive information. We find a sizeable … reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. The price … multiple brokers, suggesting they wish to prevent their information from leaking. The findings suggest that short selling can …

Persistent link: https://www.econbiz.de/10012003269

Has the new bail-in framework increased the yield spread between subordinated and senior bonds?

Pablos Nuevo, Irene - 2019

This paper investigates the impact of the introduction and implementation of the new EU bail-in framework on the banks subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the issuing entities and the economic and...

Persistent link: https://www.econbiz.de/10012104463

Exchange traded funds (ETFs)

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017

Over two decades, ETFs have become one of the most popular investment vehicle among retail and professional investors due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as mutual funds and index futures. Research has shown that in...

Persistent link: https://www.econbiz.de/10011620013

Company stock reactions to the 2016 election shock : Trump, taxes and trade

Wagner, Alexander F.; Zeckhauser, Richard; Ziegler, … - 2017

Donald Trump's surprise election shifted expectations: corporate taxes would be lower and trade policies more restrictive. Relative stock prices responded appropriately. High-tax firms and those with large deferred tax liabilities (DTLs) gained; those with significant deferred tax assets from net...

Persistent link: https://www.econbiz.de/10011609357

Institutional herding and its price impact : evidence from the corporate bond market

Cai, Fang; Han, Song; Li, Dan; Li, Yi - 2016

Among growing concerns about potential financial stability risks posed by the asset management industry, herding has been considered as an important risk amplification channel. In this paper, we examine the extent to which institutional investors herd in their trading of U.S. corporate bonds and...

Persistent link: https://www.econbiz.de/10011578934

Options, equity risks, and the value of capital structure adjustments

Borochin, Paul; Yang, Jie - 2016 - This version: October, 2016

We use exchange-traded options to identify risks relevant to capital structure adjustments in firms. These forward-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting data. They matter most during contractionary...

Persistent link: https://www.econbiz.de/10011579117