Similar Search Results

Do proprietary traders provide liquidity?

Bergman, Nittai K.; Kadan, Ohad; Michaely, Roni; … - 2020

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders concentrate their trades in large and liquid...

Persistent link: https://www.econbiz.de/10012419705

Competition for attention in the ETF space

Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021

The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...

Persistent link: https://www.econbiz.de/10012421474

The equity market implications of the retail investment boom

Beck, Philippe van der; Jaunin, Coralie - 2021

This paper quantifies the impact of Robinhood traders on the US equity market. Within a structural model, we estimate retail and institutional demand curves and derive aggregate pricing implications via market clearing. The inelastic nature of institutional demand allows Robinhood traders to...

Persistent link: https://www.econbiz.de/10012487631

Risk & returns around FOMC press conferences : a novel perspective from computer vision

Marchal, Alexis - 2021

recent deep learning algorithms from computer vision. This alternative data provides new information on nonverbal … certain videos contain valuable information for the study of financial markets …

Persistent link: https://www.econbiz.de/10012487767

Are Longer Bankruptcies Really More Costly?

Covitz, Daniel M. - 2008

We test the widely held assumption that longer restructurings are more costly. In contrast to earlier studies, we use instrumental variables to control for the endogeneity of restructuring time and creditor return. Instrumenting proves critical to our finding that creditor recovery rates...

Persistent link: https://www.econbiz.de/10012727157

Squeezing shorts through social news platforms

Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021

At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...

Persistent link: https://www.econbiz.de/10012502167

Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses

Cashin, David B. - 2020

liquidity dynamics are generally consistent with the theory of the information sensitivity of debt … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …

Persistent link: https://www.econbiz.de/10012834175

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011647972

Arbitrage and Liquidity : Evidence from a Panel of Exchange Traded Funds

Rappoport W, David E; Tuzun, Tugkan - 2020

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by arbitrageurs. We study this relationship using a unique dataset of equity and bond ETFs compiled from big trade-level data. We find that liquidity is an important determinant...

Persistent link: https://www.econbiz.de/10014048719

Information in Financial Markets : Who Gets it First?

Swem, Nathan - 2017

dynamics illustrate how hedge funds play an important role in information generation …I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that … information acquisition skills, and that analysts assist hedge funds in exploiting information acquisition advantages. These …

Persistent link: https://www.econbiz.de/10014122285