Showing 1 - 10 of 133
The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if investors are risk-averse. We show that this anomaly is also prominent in the Chinese stock market. We attempt to explain the IV anomaly by using the key theories suggested by the...
Persistent link: https://www.econbiz.de/10012908679
Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...
Persistent link: https://www.econbiz.de/10010905843
Owners of firms in trouble are more exposed to moral hazard problems than owners of successful firms. Foreign owners who face higher costs to monitor the firm should be more vulnerable to these problems than domestic ones. Consequently, a downward revision in a firm's expected future earnings...
Persistent link: https://www.econbiz.de/10008740354
This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency...
Persistent link: https://www.econbiz.de/10010712487
We utilize seventeen years of comprehensive daily portfolio and trading data identified at the individual investor level, to analyze the relative trading performance of the entire universe of households, all domestic financial institutions and all foreign institutions in the Finnish market. We...
Persistent link: https://www.econbiz.de/10012972090
Corporate directors earn abnormal returns when they buy their own company's stock as insiders. Directors also outperform when they buy stocks with an interlock connection, where a co-board member is an insider. Directors do not consistently earn abnormal returns when they sell these connected...
Persistent link: https://www.econbiz.de/10012973327
We replicate and extend the methodology of Grinblatt and Keloharju (2000) to find that foreign institutional investors in Finland no longer achieve superior performance. This is despite their persistence in adopting ‘positive-feedback' trading strategies. We find that individuals and...
Persistent link: https://www.econbiz.de/10012953034
This paper investigates whether CEOs that have active share trading accounts engage in higher levels of corporate innovation. Prior studies show that individuals who trade on the stock market are less financially conservative. We find that this behavioural attribute is consistent over both the...
Persistent link: https://www.econbiz.de/10013029200
This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and...
Persistent link: https://www.econbiz.de/10013036599
The findings in this paper confirm that there is an economic and statistic negative association between High Frequency Trading [HFT] activity and price volatility. In the ultra-high frequency intervals around HFT there is a slight increase in volatility. This paper also confirms that large high...
Persistent link: https://www.econbiz.de/10012984902