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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
provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010958715
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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 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
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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
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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
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Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50
Ende, Bartholomäus; Lutat, Marco - Center for Financial Studies - 2010
The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...
Persistent link: https://www.econbiz.de/10010986425
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Exit timing of venture capitalists in the course of an initial public offering
Neus, Werner; Walz, Uwe - Center for Financial Studies - 2002
We analyze the desinvestment decision of venture capitalists in the course of an IPO of their portfolio firms. The capital market learns of the project quality only in the period following the IPO. Venture capitalists with high-quality firms face a trade-off between immediately selling their...
Persistent link: https://www.econbiz.de/10010986431
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Are IPOs of different VCs different?
Tykvová, Tereza; Walz, Uwe - Center for Financial Studies - 2004
This paper aims to analyze the impact of different types of venture capitalists on the performance of their portfolio firms around and after the IPO. We thereby investigate the hypothesis that different governance structures, objectives and track record of different types of VCs have a...
Persistent link: https://www.econbiz.de/10010986446
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Initial public offerings and venture capital in Germany
Franzke, Stefanie A.; Grohs, Stefanie; Laux, Christian - Center for Financial Studies - 2003
We present a survey on the role of initial public offerings (IPOs) and venture capital (VC) in Germany after the Second World War. Between 1945 and 1983 IPOs hardly played a role at all and only a minor role thereafter. In addition, companies that chose an IPO were much older and larger than the...
Persistent link: https://www.econbiz.de/10010958532
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Initial Public Offerings and Venture Capital in Germany
Stefanie Franzke (Contact), Stefanie Grohs, Christian Laux - Center for Financial Studies - 2003
We present a survey on the role of initial public offerings (IPOs) and venture capital (VC) in Germany after the Second World War. Between 1945 and 1983 IPOs hardly played a role at all and only a minor role thereafter. In addition, companies that chose an IPO were much older and larger than the...
Persistent link: https://www.econbiz.de/10005120792
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10010986383