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MODELOS DE ESTIMACION DE LA PROBABILIDAD DE NEGOCIACION INFORMADA: UNA COMPARACION METODOLOGICA EN EL MERCADO ESPAÑOL

Abad, David; Rubia, Antonio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

as a consequence of the dramatic fall in the number of liquidity traders. This issue suggests a strong degree of aversion …

Persistent link: https://www.econbiz.de/10005212531

Adverse selection under complete ignorance

Cuñat, Javier M. López - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1997

We examine an adverse selection relationship in which the principal is unaware of the ex ante distribution of the agent's types. We show that the minimax regret mechanism, which is an incentive compatible and individually rational mechanism that minimizes the maximal principal's regret, requires...

Persistent link: https://www.econbiz.de/10008542868

ADVERSE SELECTION AND MANAGERIAL INCENTIVES

Cuñat, Javier M. López - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

We analyze managerial contracts (i.e. incentive schemes based on a linear combination of profits and sales) under asymmetric information about costs. In the competitive setting with ex ante symmetric information, standard strategic effects appear. Under adverse selection in both, monopolistic...

Persistent link: https://www.econbiz.de/10005731357

MULTIPLE ADVERSE SELECTION

Cuñat, Javier M. López - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1995

We study an adverse selection model, with a principal and several agents, wherecontracting is under asymmetric information. The number of agents is finite and types are "continuous" and independent. We analyze two settings. In the first one, the performance functions of mechanisms may depend on...

Persistent link: https://www.econbiz.de/10005731361

- IMPLEMENTATION OF OPTIMAL CONTRACTS UNDER ADVERSE SELECTION

Zamora, Bernarda; Amorós, Pablo - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

This paper studies the principal-multiagent model of a firm subject to adverse selection. We focus on agents who have complete information. We propose some desirable properties to be satisfied by mechanisms implementing the first-best in Nash equilibrium: (i) enforceability (a property related...

Persistent link: https://www.econbiz.de/10005731421

- LIQUIDEZ Y MARKET MAKERS EN EL MERCADO DE FUTUROS: UN ANÁLISIS CON DATOS DE MUY ALTA FRECUENCIA

García-Montalvo, José - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

irregularly spaced in time. The estimates are used to measure the liquidity of the market and the effect of the introduction of … market makers on liquidity. Este trabajo analiza la dinámica de los cambios de precios en el mercado de futuros español y sus …

Persistent link: https://www.econbiz.de/10005212535

The timeline of trading fricions in the European Carbon Market

Martínez, Vicente Medina; Tornero, Ángel Pardo; … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2012

substantial improvements in terms of liquidity, adverse selection costs, and friction-related volatility from the trial phase to …

Persistent link: https://www.econbiz.de/10009652487

LA TESORERIA EN LA EMPRESA Y SUS DETERMINANTES

Teruel, Pedro J. García; Solano, Pedro Martínez - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

This paper analyzes the determinants of the corporate cash holding for a sampleof companies listed in the Spanish stock market. The results show that the firms have acorporate cash holding target level, and that this level is greater in companies withgreater cash flows. On the other hand, cash...

Persistent link: https://www.econbiz.de/10005812848

On downside risk predictability through liquidity and trading activity: a quantile regression approach

Sanchis-Marco, Lidia; Serrano, Antonio Rubia - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

proxy for market liquidity and trading conditions convey valid information to forecast the quantiles of the conditional …

Persistent link: https://www.econbiz.de/10009147134

LIQUIDITY AND INFORMATION AROUND ANNUAL EARNINGS ANNOUNCEMENTS: AN INTRADAY ANALYSIS OF THE SPANISH STOCK MARKET

Abad, David; Yagüe, José; Sanabria, Sonia - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order … during trading and non-trading hours. We find that stock liquidity and trading activity significantly improves after the … time to evaluate the earnings news before the market opens, the improvement in liquidity is immediate, caused by higher …

Persistent link: https://www.econbiz.de/10005515848