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One Day in June, 1994 : A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System

Goodhart, Charles; Ito, Takatoshi; Payne, Richard - 2021

The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993. The bid and ask quotes, which are `firm' in this data set, are compared with the Reuters FXFX page, which...

Persistent link: https://www.econbiz.de/10013221545

Transaction Costs in Dealer Markets : Evidence from the London Stock Exchange

Reiss, Peter C. - 2009

This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs...

Persistent link: https://www.econbiz.de/10013155968

Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

Bernstein, Asaf - 2014

Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic...

Persistent link: https://www.econbiz.de/10013047773

Are Analyst Trade Ideas Valuable?

Birru, Justin - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012866708

Does Stock Market Listing Impact Investment in Japan?

French, Joseph J. - 2019

We provide the first large sample comparison of investment by Japanese listed and unlisted public firms. We show that listed firms invest more and have greater sensitivity to investment opportunities than comparable unlisted companies. Our findings suggest that the role of listing in alleviating...

Persistent link: https://www.econbiz.de/10012858798

Predatory Trading

Pedersen, Lasse Heje - 2004

This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10012785459

Learning and Asset-Price Jumps

Bansal, Ravi; Shaliastovich, Ivan - 2021

We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large …

Persistent link: https://www.econbiz.de/10013221105

Inflation Illusion and Stock Prices

Campbell, John Y. - 2011

We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2 …) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth …

Persistent link: https://www.econbiz.de/10013133237

On the Timing and Pricing of Dividends

van Binsbergen, Jules H. - 2010

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

Persistent link: https://www.econbiz.de/10013137025

The Lucas Orchard

Martin, Ian - 2011

utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard … conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …

Persistent link: https://www.econbiz.de/10013118845