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Grossman, Gene M.; Shapiro, Carl - 2021

We analyze a two-country model of trade in both legitimate and counterfeit products. Domestic firms own trademarks and establish reputations for delivering high-quality products in a steady-state equilibrium. Foreign suppliers export legitimate low-quality merchandise and counterfeits of...

Persistent link: https://www.econbiz.de/10013215713

High Frequency Traders : Taking Advantage of Speed

Ait-Sahalia, Yacine - 2013

We propose a model of dynamic trading where a strategic high frequency trader receives an imperfect signal about future order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order cancellations, and impact on low frequency traders...

Persistent link: https://www.econbiz.de/10013074299

Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision

Bartlett, Robert P. - 2015

Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...

Persistent link: https://www.econbiz.de/10013020713

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10013130782

What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation

Barberis, Nicholas - 2006

explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …

Persistent link: https://www.econbiz.de/10012779644

On Frequent Batch Auctions for Stocks

Jagannathan, Ravi - 2019

I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...

Persistent link: https://www.econbiz.de/10012861734

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

Du, Songzi - 2014

This paper studies the welfare consequence of increasing trading speed in financial markets. We build and solve a dynamic trading model, in which traders receive private information of asset value over time and trade strategically with demand schedules in a sequence of double auctions. A...

Persistent link: https://www.econbiz.de/10013045292

Endogenous Discounting, the World Saving Glut and the U.S. Current Account

Choi, Horag - 2010

We study the evolution of the U.S. current account in a two-country dynamic stochastic endowment model in which a single non-state contingent bond is the only internationally traded asset. The paper focuses on the world `saving glut' as the primary cause of continual deterioration in the current...

Persistent link: https://www.econbiz.de/10012759722

Attention, Demographics, and the Stock Market

DellaVigna, Stefano - 2010

Do investors pay enough attention to long-term fundamentals? We consider the case of demographic information. Cohort size fluctuations produce forecastable demand changes for age-sensitive sectors, such as toys, bicycles, beer, life insurance, and nursing homes. These demand changes are...

Persistent link: https://www.econbiz.de/10012762482

Daily Momentum and Contrarian Behavior of Index Fund Investors

Massa, Massimo - 2010

We use a two-year panel of individual accounts in an Samp;P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms...

Persistent link: https://www.econbiz.de/10012763343

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