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The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)

Degryse, Hans; de Jong, Frank C. J. M.; van Kervel, V.L. - Tilburg University, Center for Economic Research - 2011

Two important characteristics of current European equity markets are rooted in changes in financial regulation (the Markets in Financial Instruments Directive). The regulation (i) allows new trading venues to emerge, generating a fragmented market place and (ii) allows for a substantial fraction...

Persistent link: https://www.econbiz.de/10011090715

Do Countries or Industries Explain Momentum in Europe?

Nijman, Theo; Swinkels, L.A.P.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011090881

Coexistence and Dynamics of Overconfidence and Strategic Incentives

de Goeij, Peter; Bosquet, K.; Smedts, K. - Tilburg University, Center for Economic Research - 2009

behavioral bias. In the second stage analysts can adjust their earnings forecast in line with their strategic incentives. The … inflating their forecast. In their last revision, they become pessimistic and strategically deflate their earnings forecast …

Persistent link: https://www.econbiz.de/10011091075

Internalization, Clearing and Settlement, and Liquidity

Degryse, Hans; van Achter, M.; Wuyts, G. - Tilburg University, Center for Economic Research - 2012

Abstract: We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when...

Persistent link: https://www.econbiz.de/10011090324

New Evidence on Price and Volatility Effects of Stock Option Introductions

Kabir, M.R. - Tilburg University, Center for Economic Research - 1997

This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,...

Persistent link: https://www.econbiz.de/10011091201

Spillover of Corporate Governance Standards in Cross-Border Mergers and Acquisitions

Renneboog, Luc; Martynova, M. - Tilburg University, Center for Economic Research - 2008

In cross-border acquisitions, the differences between the bidder and target corporate governance have an important impact on the takeover returns. Our country-level corporate governance indices capture the changes in the quality of the national corporate governance regulations over the past 15...

Persistent link: https://www.econbiz.de/10011092858

Economic Hedging Portfolios

Werker, Bas J.M.; van den Goorbergh, R.W.J.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2003

, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging … demand obtained in the traditional mean-variance framework.We find that agents across a broad range of levels of risk …

Persistent link: https://www.econbiz.de/10011091561

Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System

Degryse, Hans; Nguyen, G. - Tilburg University, Center for Economic Research - 2004

interbank market is a potential important driving factor in the risk and impact of interbank contagion.We investigate the … evolution of contagion risk for the Belgian banking system over the period 1993-2002 using detailed information on aggregate … decreased the risk and impact of contagion.Moreover, an increase in the proportion of cross-border interbank assets has lowered …

Persistent link: https://www.econbiz.de/10011092432

Experimental Research On Asset Pricing

Noussair, Charles; Tucker, S. - Tilburg University, Center for Economic Research - 2013

Abstract This paper selectively surveys some of the more prominent laboratory experimental studies on asset market behavior. The strands of literature considered are market microstructure, pari-mutuel betting markets, characteristics of participants, the effect of information release, and...

Persistent link: https://www.econbiz.de/10011090526

Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals

Noussair, Charles; Powell, O.R. - Tilburg University, Center for Economic Research - 2008

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals...

Persistent link: https://www.econbiz.de/10011090651