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Does inter-market competition lead to less regulation?

Draus, Sarah - 2010

requirements, set by the exchange, provide public information on listed firms and contribute to a better liquidity on all trading …

Persistent link: https://www.econbiz.de/10010303703

The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10010303693

International price discovery in the presence of microstructure noise

Grammig, Joachim G.; Peter, Franziska J. - 2008

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky...

Persistent link: https://www.econbiz.de/10010303718

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni; Foucault, Thierry - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...

Persistent link: https://www.econbiz.de/10010303742

Advertising arbitrage

Kovbasyuk, Sergey; Pagano, Marco - 2020

Arbitrageurs with a short investment horizon gain from accelerating price discovery by advertising their private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So arbitrageurs...

Persistent link: https://www.econbiz.de/10012251032

Die Betreuer am Neuen Markt: eine empirische Analyse

Gerke, Wolfgang; Bosch, Robert - 1999

Die Betreuer am neuen Markt sollen die Effizienz des Handels durch Bereitstellung zusätzlicher Liquidität erhöhen. Die vorliegende Studie untersucht den Liquiditätsbeitrag der Betreuer in zwei aufeinanderfolgenden Jahren. Die Beteiligung der Betreuer am Umsatz des Marktes hat im beobachteten...

Persistent link: https://www.econbiz.de/10010298219

Organized equity markets in Germany

Theissen, Erik - 2003

its peers, we find that it is indeed underdeveloped with respect to market capitalization. In terms of liquidity, on the …

Persistent link: https://www.econbiz.de/10010298241

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010303680

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

Persistent link: https://www.econbiz.de/10010303687

The diminishing liquidity premium

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - 2008

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

Persistent link: https://www.econbiz.de/10010303688