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The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...
Persistent link: https://www.econbiz.de/10013477240
This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It …
Persistent link: https://www.econbiz.de/10012474198
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the...
Persistent link: https://www.econbiz.de/10012599301
We study the determinants and consequences of cross-listings on the New York and London stock exchanges from 1990 to … 2005. This investigation enables us to evaluate the relative benefits of New York and London exchange listings and to … in London. This decline in cross-listings is explained by changes in firm characteristics rather than by changes in the …
Persistent link: https://www.econbiz.de/10012465575
railways, newly-constructed spatially-disaggregated data for London from 1801-1921, and a quantitative urban model to provide … buildings in Greater London by 20 percent or more, and brings down commuting into the City of London from more than 370,000 to …
Persistent link: https://www.econbiz.de/10012480700
This study provides new evidence on the impact of air pollution in London over the century from 1866-1965. To identify … weeks with elevated pollution levels I use new data tracking the timing of London's famous fog events, which trapped … exposure due to fog events accounted for at least one out of every 200 deaths in London during this century. I provide evidence …
Persistent link: https://www.econbiz.de/10012453227
This paper examines the consequences of the 2015 reform on the London fixing in the interbank forex market, which …
Persistent link: https://www.econbiz.de/10012455354
West Germany's external debt and create a series of favourable debt repayment conditions. The London Debt Agreement (LDA …
Persistent link: https://www.econbiz.de/10012456122
This paper uses an original data set of more than 3000 cases from 1918 to 1926 in the Central Criminal Courts of London …
Persistent link: https://www.econbiz.de/10012456696