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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10013094725
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Unobserved Tax Avoidance and the Tax Elasticity of FDI
Egger, Peter H. - 2014
This paper investigates the tax responsiveness of multinational firms' investment decisions in foreign countries, distinguishing firms that are able to avoid taxes (avoiders) from those that are not (non-avoiders). From a theoretical point of view, the tax responsiveness of firms crucially...
Persistent link: https://www.econbiz.de/10013048888
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Bubbles in Hybrid Markets - How Expectations About Algorithmic Trading Affect Human Trading
Farjam, Mike - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...
Persistent link: https://www.econbiz.de/10013009851
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2013
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10013094028
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Intraday Anomalies and Market Efficiency : A Trading Robot Analysis
Caporale, Guglielmo Maria - 2014
One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...
Persistent link: https://www.econbiz.de/10013054316
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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The Rate of Return on Everything, 1870-2015
Jordà, Òscar - 2018
This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
Persistent link: https://www.econbiz.de/10012921279
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Strategic Bidding of Electric Power Generating Companies : Evidence from the Australian National Energy Market
Dungey, Mardi H. - 2018
We extend existing theoretical frameworks describing electricity markets where each generator provides a Market Operator (MO) with a supply schedule in advance. The MO combines these with demand forecasts to produce equilibrium prices and instructs firms on their dispatch. We incorporate the...
Persistent link: https://www.econbiz.de/10012927098
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Petroleum Taxation and Investment Behaviour
Osmundsen, Petter - 2014
arises here between assumptions made in some areas of tax theory and the actual investment analyses conducted by the … companies. Tax theory has given rise to discussion and controversial tax proposals for the petroleum sector in Norway, Denmark … and Australia. It led, for example, to reductions in tax-related depreciation for the Norwegian petroleum industry in May …
Persistent link: https://www.econbiz.de/10013044550
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Google it Up! A Google Trends-Based Uncertainty Index for the United States and Australia
Castelnuovo, Efrem - 2017
We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends … to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy …
Persistent link: https://www.econbiz.de/10012943150