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Minimum Price Increment, Competition for Liquidity Provision, and Price Discovery
Fleming, Michael J.; Nguyen, Giang; Ruela, Francisco - 2021
depth, and improved price efficiency.Moreover, slow traders become more competitive in liquidity provision and price …
Persistent link: https://www.econbiz.de/10013244513
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Do Investors Mistake a Good Company for a Good Investment?
Antunovich, Peter - 2006
Do investors confuse the quality of a firm with its attractiveness as an investment? If so, shares of well-run companies will be bid up too high and subsequently earn negative abnormal returns. Our analysis of Fortune magazine's annual survey of quot;America's Most Admired Companiesquot; for...
Persistent link: https://www.econbiz.de/10012735748
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Inference, Arbitrage, and Asset Price Volatility
Adrian, Tobias - 2010
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10012717809
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Cash-Forward Arbitrage and Dealer Capital in MBS Markets : COVID-19 and Beyond
Chen, Jiakai - 2020
liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but … subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0 … combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the …
Persistent link: https://www.econbiz.de/10012828310
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Identifying Noise Traders : The Head-and-Shoulders Pattern in U.S. Equities
Osler, Carol L. - 2006
This paper identifies a specific set of agents as noise traders in U.S. equity markets, and examines their effects on returns. These agents, who speculate using the quot;head-and-shouldersquot; chart pattern, are shown to qualify as noise traders because (1) trading volume is exceptionally high...
Persistent link: https://www.econbiz.de/10012732734
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Financial Market Implications of the Federal Debt Paydown
Fleming, Michael J. - 2006
U.S. Treasury securities fill several crucial roles in financial markets: they are a risk-free benchmark, a reference and hedging benchmark, and a reserve asset to the Federal Reserve and other financial institutions. Many of the features that make the Treasury market an attractive benchmark and...
Persistent link: https://www.econbiz.de/10012733094
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Head and Shoulders : Not Just a Flaky Pattern
Osler, Carol L. - 2007
This paper evaluates rigorously the predictive power of the head-and-shoulders pattern as applied to daily exchange rates. Though such visual, nonlinear chart patterns are applied frequently by technical analysts, our paper is one of the first to evaluate the predictive power of such patterns....
Persistent link: https://www.econbiz.de/10012729905
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Market Declines : Is Banning Short Selling the Solution?
Battalio, Robert H. - 2012
stock prices, but significantly increased costs of liquidity. In August 2011, the U.S. market experienced a large decline …
Persistent link: https://www.econbiz.de/10013113906
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Performance Maximization of Actively Managed Funds
Guasoni, Paolo - 2014
Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10013070365
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10013076594