This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a...

In diesem Papier wird das Handelsverhalten großer Marktteilnehmer während des Versuchs einer künstlich erzeugten Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future-Transaktionen von Händlern und Kunden untersuchen...

Die London Stock Exchange hat im Jahr 1997 dem Publikum die Möglichkeit eingeräumt, durch die Abgabe von limitierten Ordern bei bestimmten Aktien direkt mit den Händlern zu konkurrieren. Anders als bei der NASDAQ, wurde in London für diese Aktien auch die Verpflichtung für die Händler...

Seminal market microstructure literature identifies at least three important dimensions of liquidity: trading costs, depth, and resiliency. We investigate the relevance of each of these three dimensions of liquidity - separately and in conjunction - for the pricing of corporate bonds. Unlike...

We investigate the nature and extent of information asymmetry among traders in companies with government ownership. Consistent with a less transparent information environment, we find relatively less informed trading in the shares of firms with government presence, and specifically, fewer...

Utilizing subsets of trades in which dealers act purely as agents, purely as market-makers, and as both, we decompose dealer spreads in U.S. corporate bond OTC markets into components arising from: 1) dealers' marketmaking role, and 2) their role as agents for their non-dealer customers. We find...

We investigate the relation between corporate governance characteristics of hostile takeover targets and the choice to employ 'harmful' resistance that is not perceived as being motivated by shareholders' interests. We find that harmful resistance is associated with firms where managers have...

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate, and increases with tick size; providing strong support...

We find that corporate governance characteristics of acquiring firms (board ownership, board size, and block-holder control) have an economically and statistically significant impact on operating performance changes following mergers. We also show that dispersion of intra-board ownership stakes...