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The adverse selection component for the bid-ask spread: A revision of its estimation models
Farinós, José E.; García, C. José; Ibáñez, Ana M.ª - In: Cuadernos de Gestión 5 (2005) 1, pp. 13-35
One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial … methodologies like GMM or VAR. This paper analyses this set of models that allows the estimation of the bid–ask spread components …
Persistent link: https://www.econbiz.de/10008505674
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Do Social Networks Facilitate Informed Option Trading? Evidence from Alumni Reunion Networks
Cheong, Harvey; Kim, Joon Ho; Münkel, Florian; Spilker … - 2021
Material private information transmits through social networks. Using manually collected information on networks of alumni reunion cohorts, we show that hedge fund managers connected to directors of firms engaged in merger deals increase call option holdings on target firms before deal...
Persistent link: https://www.econbiz.de/10013243492
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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10010281344
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Introducing a spread into the Kyle model
Salomonsson, Marcus - Economics Institute for Research (SIR), … - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10005649280
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Market versus limit orders in an imperfectly competitive security
Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996
This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if...
Persistent link: https://www.econbiz.de/10005772345
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Institutional Ownership and Insider Trading : Quasi-Experimental Evidence
Hillegeist, Stephen A. - 2018
We examine the causal effect of institutional ownership on insider trading using a regression discontinuity design to analyze exogenous differences in institutional ownership around Russell Index reconstitutions. Our findings indicate institutional investors influence insider trading behavior....
Persistent link: https://www.econbiz.de/10012911656
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Are Corporate Spin-Offs Prone to Insider Trading?
Augustin, Patrick - 2020
Despite abundant empirical evidence of informed trading ahead of major corporate events, no such evidence has been reported in the case of corporate spinoff (SP) announcements. This is surprising, as SP announcements are unexpected, and are also associated with a positive price jump in the...
Persistent link: https://www.econbiz.de/10012856345
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Internal Control Over Financial Reporting and Managerial Rent Extraction : Evidence from the Profitability of Insider Trading
Skaife, Hollis Ashbaugh; Veenman, David; Wangerin, Daniel - 2013
This paper examines the association between ineffective internal control over financial reporting and the profitability of insider trading. We predict and find that the profitability of insider trading is significantly greater in firms disclosing material weaknesses in internal control relative...
Persistent link: https://www.econbiz.de/10014177566
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Insider Trading Based on Overconfidence of CEO and CFO
Demirkan, Sebahattin; Felix, Robert; Muslu, Volkan - 2022
Through close interactions with their CEO and CFO, independent directors as well as subordinate executives can assess the overconfidence of their CEO and CFO. We show that independent directors and subordinate executives trade on this assessment, albeit differently. Independent directors of a...
Persistent link: https://www.econbiz.de/10013403355
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Asymmetric Information and International Corporate Social Responsibility
Lopatta, Kerstin; Buchholz, Frerich; Kaspereit, Thomas - ZenTra - Center for Transnational Studies - 2014
We investigate the relation between asymmetric information of insider trades and international corporate social responsibility for U.S. firms listed in the MSCI world index during the period 2004 to 2010. In comparison to current studies, which focus on measuring the interrelation between the...
Persistent link: https://www.econbiz.de/10010735754