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Market Liquidity -- Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - National Bureau of Economic Research (NBER) - 2012
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10010951230
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Insider Trading, Stochastic Liquidity and Equilibrium Prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - National Bureau of Economic Research (NBER) - 2012
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is...
Persistent link: https://www.econbiz.de/10010581038
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Benchmarks in Search Markets
Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - National Bureau of Economic Research (NBER) - 2014
We analyze the role of benchmarks in over-the-counter markets subject to search frictions. The publication of a …
Persistent link: https://www.econbiz.de/10011093758
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Private Information and Sunspots in Sequential Asset Markets
Benhabib, Jess; Wang, Pengfei - National Bureau of Economic Research (NBER) - 2014
We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...
Persistent link: https://www.econbiz.de/10010759908
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The Twilight Zone: OTC Regulatory Regimes and Market Quality
Leuz, Christian; Brüggemann, Ulf; Kaul, Aditya; … - National Bureau of Economic Research (NBER) - 2013
We analyze a comprehensive sample of more than 10,000 U.S. stocks in the OTC market. As little is known about this market, we first characterize OTC firms by trading venue and provide evidence on survival, success, frequency of venue changes, reporting status, and trading activity. A large...
Persistent link: https://www.econbiz.de/10010969441
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Does Risk Explain Anomalies? Evidence from Expected Return Estimates
Zhang, Lu; Wu, Jin Ginger - National Bureau of Economic Research (NBER) - 2010
We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a …, and short-term prior returns. Our findings are striking. Except for the value premium, cost of equity estimates differ … dramatically from average realized returns. If accounting-based costs of equity are reasonable proxies for expected returns, the …
Persistent link: https://www.econbiz.de/10008628460
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Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock
Leuz, Christian; Schrand, Catherine - National Bureau of Economic Research (NBER) - 2009
This paper examines the link between disclosure and the cost of capital. We exploit an exogenous cost of capital shock created by the Enron scandal in Fall 2001 and analyze firms' disclosure responses to this shock. These tests are opposite to the typical research design that analyzes cost of...
Persistent link: https://www.econbiz.de/10005714190
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Understanding the Accrual Anomaly
Zhang, Lu; Wu, Jin Ginger; Zhang, X. Frank - National Bureau of Economic Research (NBER) - 2007
Interpreting accruals as working capital investment, we hypothesize that firms rationally adjust their investment to respond to discount rate changes. Consistent with the optimal investment hypothesis, we document that (i) the predictive power of accruals for future stock returns increases with...
Persistent link: https://www.econbiz.de/10005828684
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Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement
Leuz, Christian; Christensen, Hans B.; Hail, Luzi - National Bureau of Economic Research (NBER) - 2011
This paper examines capital market effects of changes in securities regulation. We analyze two key directives in the European Union (EU) that tightened market abuse and transparency regulation and its enforcement. All EU member states were required to adopt these two directives, but did so at...
Persistent link: https://www.econbiz.de/10008804681
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Information Asymmetry, Information Precision, and the Cost of Capital
Leuz, Christian; Lambert, Richard A.; Verrecchia, Robert E. - National Bureau of Economic Research (NBER) - 2009
The consequences of information differences across investors in capital markets are still much debated. This paper …
Persistent link: https://www.econbiz.de/10004992855