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Tax-Loss Trading and Wash Sales
Grinblatt, Mark - 2002
An analysis of trades in the Finnish stock market around the turn of the year shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital...
Persistent link: https://www.econbiz.de/10012469970
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How Rigged Are Stock Markets? : Evidence From Microsecond Timestamps
Bartlett, Robert P, III. - 2016
We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on...
Persistent link: https://www.econbiz.de/10012456128
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G. - 2019
, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …
Persistent link: https://www.econbiz.de/10012480274
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554
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Do "Reverse Payment" Settlements of Brand-Generic Patent Disputes in the Pharmaceutical Industry Constitute an Anticompetitive Pay for Delay?
Drake, Keith M. - 2014
Brand and generic drug manufacturers frequently settle patent litigation on terms that include a payment to the generic manufacturer along with a specified date at which the generic would enter the market. The Federal Trade Commission contends that these agreements extend the brand's market...
Persistent link: https://www.econbiz.de/10012458375
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The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - National Bureau of Economic Research - 2021
We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but...
Persistent link: https://www.econbiz.de/10012510575
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Attention, Social Interaction, and Investor Attraction to Lottery Stocks
Bali, Turan G.; Hirshleifer, David; Peng, Lin; Tang, Yi - National Bureau of Economic Research - 2021
We find that among stocks dominated by retail investors, the lottery anomaly is amplified by high investor attention (proxied by high analyst coverage, salient earnings surprises, or recency of extreme positive returns) and intense social interactions (proxied by Facebook social connectedness or...
Persistent link: https://www.econbiz.de/10012794571
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Are High Income Individuals Better Stock Market Investors?
Feldstein, Martin - 1982
and that they have persisted for a long time …
Persistent link: https://www.econbiz.de/10012478159
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Information Aggregation, Investment, and Managerial Incentives
Albagli, Elias - 2011
We study the interplay of share prices and firm decisions when share prices aggregate and convey noisy information about fundamentals to investors and managers. First, we show that the informational feedback between the firm's share price and its investment decisions leads to a systematic...
Persistent link: https://www.econbiz.de/10012461328
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
-grade corporate bonds. The predictive power of war discourse increases in more recent time periods …
Persistent link: https://www.econbiz.de/10014287305