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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P, III. - 2015
national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …
Persistent link: https://www.econbiz.de/10012457381
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A Theory of Asset Pricing Based on Heterogeneous Information
Albagli, Elias - 2011
We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...
Persistent link: https://www.econbiz.de/10012461110
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Crashes and Recoveries in Illiquid Markets
Lagos, Ricardo - 2008
We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative …, persistence) under which dealers provide liquidity to investors following the crash. We also characterize the conditions under … which dealers incentives to provide liquidity are consistent with market efficiency …
Persistent link: https://www.econbiz.de/10012464526
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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The Earnings Announcement Premium and Trading Volume
Lamont, Owen - 2007
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest...
Persistent link: https://www.econbiz.de/10012465564
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The Highest Price Ever : The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints
Davis, Lance E. - 2005
A surge in orders during the stock market boom of the late 1920s collided against the constraint created by the fixed number of brokers on the New York Stock Exchange. Estimates of the determinants of individual stock bid-ask spreads from panel data reveal that spreads jumped when volume spiked,...
Persistent link: https://www.econbiz.de/10012467122
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Speculative Trading and Stock Prices : Evidence from Chinese A-B Share Premia
Mei, Jianping - 2005
The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data...
Persistent link: https://www.econbiz.de/10012467321
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The Information of Option Volume for Future Stock Prices
Pan, Jun - 2004
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a...
Persistent link: https://www.econbiz.de/10012467762
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Dynamic Volume-Return Relation of Individual Stocks
Llorente, Guillermo - 2001
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...
Persistent link: https://www.econbiz.de/10012470412
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Asset Prices and Trading Volume Under Fixed Transactions Costs
Lo, Andrew W. - 2001
We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in...
Persistent link: https://www.econbiz.de/10012470413