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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
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Do Funds Make More When They Trade More?
Pastor, Lubos - 2014
We model optimal fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover...
Persistent link: https://www.econbiz.de/10013043611
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Competing for Order Flow in OTC Markets
Lester, Benjamin R. - 2014
We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades-- which can include prices, quantities, and execution speed--and investors direct their orders...
Persistent link: https://www.econbiz.de/10013045266
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The Highest Price Ever : The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints
Davis, Lance E. - 2012
A surge in orders during the stock market boom of the late 1920s collided against the constraint created by the fixed number of brokers on the New York Stock Exchange. Estimates of the determinants of individual stock bid-ask spreads from panel data reveal that spreads jumped when volume spiked,...
Persistent link: https://www.econbiz.de/10013115870
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The Earnings Announcement Premium and Trading Volume
Frazzini, Andrea - 2007
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest...
Persistent link: https://www.econbiz.de/10012776956
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The Information of Option Volume for Future Stock Prices
Poteshman, Allen M. - 2004
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a...
Persistent link: https://www.econbiz.de/10012785364
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Asset Prices and Trading Volume Under Fixed Transactions Costs
Lo, Andrew W. - 2010
We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in...
Persistent link: https://www.econbiz.de/10012763147
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
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A Dynamic Structural Model for Stock Return Volatility and Trading Volume
Brock, William A. - 2010
volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive … autocorrelation of volatility and volume is caused by persistence of strategy patterns that are associated with high volatility and …
Persistent link: https://www.econbiz.de/10012763565
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Model Disagreement and Economic Outlook
Andrei, Daniel - 2014
We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogeneous preferences and equal access to information, but disagree about the length of the business cycle. We show that...
Persistent link: https://www.econbiz.de/10013052682