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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
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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
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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
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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
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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
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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
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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
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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
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Financial Expertise as an Arms Race
Glode, V.; Green, R.C.; Lowery, R. - Tilburg University, Center for Economic Research - 2010
We propose a model in which firms involved in trading securities overinvest in financial expertise. Intermediaries or traders in the model meet and bargain over a financial asset. As in the bargaining model in Dang (2008), counterparties endogenously decide whether to acquire information, and...
Persistent link: https://www.econbiz.de/10011092698
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Corporate Governance Structures, Control and Performance in European Markets : A Tale of Two Systems
Renneboog, Luc; Crama, Y.; Leruth, L.; Urbain, J-P. - Tilburg University, Center for Economic Research - 1999
company such as systematic risk, corporate size and P/E ratios or by factors related to the influence of the macro …. Secondly, the impact of ownership structure on the share price performance and corporate risk is empirically nalysed for …
Persistent link: https://www.econbiz.de/10011092775