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Price discovery in spot and futures markets: A reconsideration

Theissen, Erik - Center for Financial Studies - 2009

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...

Persistent link: https://www.econbiz.de/10010958697

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...

Persistent link: https://www.econbiz.de/10010958522

International price discovery in the presence of microstructure noise

Grammig, Joachim G.; Peter, Franziska J. - Center for Financial Studies - 2008

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky...

Persistent link: https://www.econbiz.de/10010958677

Advertising arbitrage

Kovbasyuk, Sergei; Pagano, Marco - Center for Financial Studies - 2014

Speculators often advertise arbitrage opportunities in order to persuade other investors and thus accelerate the correction of mispricing. We show that in order to minimize the risk and the cost of arbitrage an investor who identifies several mispriced assets optimally advertises only one of...

Persistent link: https://www.econbiz.de/10010958789

The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - Center for Financial Studies - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10010958797

Organized equity markets in Germany

Theissen, Erik - Center for Financial Studies - 2003

its peers, we find that it is indeed underdeveloped with respect to market capitalization. In terms of liquidity, on the …

Persistent link: https://www.econbiz.de/10011105003

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010958489

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Persistent link: https://www.econbiz.de/10010958491

The diminishing liquidity premium

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

Persistent link: https://www.econbiz.de/10010958533

Does algorithmic trading improve liquidity?

Hendershott, Terrence; Jones, Charles M.; Menkveld, … - Center for Financial Studies - 2008

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

Persistent link: https://www.econbiz.de/10010958534