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Financial media, price discovery, and merger arbitrage
Buehlmaier, Matthias M. M.; Zechner, Josef - 2016
merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on …
Persistent link: https://www.econbiz.de/10011550442
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Advertising arbitrage
Kovbasyuk, Sergei; Pagano, Marco - 2014
Speculators often advertise arbitrage opportunities in order to persuade other investors and thus accelerate the … correction of mispricing. We show that in order to minimize the risk and the cost of arbitrage an investor who identifies several … "advertisability" and accuracy of future news about it. When several arbitrageurs identify the same arbitrage opportunities, their …
Persistent link: https://www.econbiz.de/10010413167
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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
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Limits to arbitrage in markets with stochastic settlement latency
Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018
limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with …, we estimate arbitrage boundaries due to settlement latency of on average 124 basis points, covering 88% of the observed …
Persistent link: https://www.econbiz.de/10011944603
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The crisis of fair value accounting : making sense of the recent debate
Laux, Christian; Leuz, Christian - 2009
The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters’ push to extend FVA into other areas. In this article, we highlight four important issues as an...
Persistent link: https://www.econbiz.de/10003864294
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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/10003909310
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Trade-throughs in European cross-traded equities after transaction costs : empirical evidence for the EURO STOXX 50
Ende, Bartholomäus; Lutat, Marco - 2010
The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...
Persistent link: https://www.econbiz.de/10008698015
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10003980635
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When an event is not an event : the curious case of an emerging market
Bhattacharya, Utpal; Daouk, Hazem; Jorgenson, Brian; … - 1998
Shares trading in the Bolsa mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1996, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or...
Persistent link: https://www.econbiz.de/10009768852
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Political economics of external sovereign defaults
Achury, Carolina; Koulovatianos, Christos; Tsoukalas, John - 2015
We develop a dynamic recursive model where political and economic decisions interact, to study how excessive debt-GDP ratios affect political sustainability of prudent fiscal policies. Rent seeking groups make political decisions - to cooperate (or not) - on the allocation of fiscal budgets...
Persistent link: https://www.econbiz.de/10011302496