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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 … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …
Persistent link: https://www.econbiz.de/10010958522
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014
the potential degree of disclosure. Having access to all relevant trading information, we provide evidence that … transaction cost measures that use dealer specific information such as trader identity and trade direction can be efficiently … proxied by measures that use less detailed information. This finding is important for all market participants in the context …
Persistent link: https://www.econbiz.de/10010958715
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011
indicators provide information about future expected returns. …
Persistent link: https://www.econbiz.de/10010986383
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010986418
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Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2007
This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...
Persistent link: https://www.econbiz.de/10010986493
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A...
Persistent link: https://www.econbiz.de/10010958491
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The diminishing liquidity premium
Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008
Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish...
Persistent link: https://www.econbiz.de/10010958533
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Exchange trading rules, surveillance and insider trading
Aitken, Michael; Cumming, Douglas; Zhan, Feng - Center for Financial Studies - 2013
We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and...
Persistent link: https://www.econbiz.de/10010958550
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High frequency trading and end-of-day price dislocation
Aitken, Michael; Cumming, Douglas; Zhan, Feng - Center for Financial Studies - 2013
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10010958725
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Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Center for Financial Studies - 2005
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10010958766