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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

Persistent link: https://www.econbiz.de/10011697233

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and … activity. This pattern is consistent with competition among PDT. Our results highlight the importance of IDT's presence in …

Persistent link: https://www.econbiz.de/10014250145

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

Portfolio choice with illiquid assets

Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761

Persistent link: https://www.econbiz.de/10010461809

Flying under the radar : the effects of short-sale disclosure rules on investor behavior and stock prices

Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad - 2016

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...