Similar Search Results

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and …

Persistent link: https://www.econbiz.de/10014250145

The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco C. - National Bureau of Economic Research - 2022

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...

Persistent link: https://www.econbiz.de/10013477240

Predatory Trading

Brunnermeier, Markus K. - 2004

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

Persistent link: https://www.econbiz.de/10012467935

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

Persistent link: https://www.econbiz.de/10014247914

Modeling Managers As EPS Maximizers

Ben-David, Itzhak; Chinco, Alexander M. - National Bureau of Economic Research - 2023

Textbook theory assumes that firm managers maximize the net present value of future cash flows. But when you ask them, real-world firm managers consistently say that they are maximizing something else entirely: earnings per share (EPS). Perhaps this is a mistake. No matter. We take firm managers...

Persistent link: https://www.econbiz.de/10014250143

Transaction Costs in Dealer Markets : Evidence From The London Stock Exchange

Reiss, Peter C. - 1994

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/10012474198

Do Acquirer Announcement Returns Reflect Value Creation?

Ben-David, Itzhak - 2020

Stock returns around acquisition announcements are widely viewed as being reflective of the net present value created by these transactions. As such, announcement returns should correlate with acquisition outcomes. Using a new measure of realized transaction-level acquisition failure, as well as...

Persistent link: https://www.econbiz.de/10012482196

Does the Market Value R&D Investment by European Firms? Evidence from a Panel of Manufacturing Firms in France, Germany, and Italy

Hall, Bronwyn H. - 2004

Several studies based on US and UK data have used market value as an indicator of the firm''s expected R&D performance. However, there exist no investigations for the continental countries in the European Union, partly because the analysis is complicated by data availability problems. In this...

Persistent link: https://www.econbiz.de/10012468285

Pledgeability, Industry Liquidity, and Financing Cycles

Diamond, Douglas W. - 2017

downturn, as well as why industry productivity falls. The paper highlights an adverse consequence of high anticipated liquidity …, working through leverage, on the economy's access to finance and productivity when that liquidity fails to materialize. It … also suggests that higher anticipated liquidity can tighten credit constraints, instead of alleviating them …

Persistent link: https://www.econbiz.de/10012455625

The Unicorn Puzzle

Davydova, Daria; Fahlenbrach, Rüdiger; Sanz, Leandro; … - National Bureau of Economic Research - 2022

From 2010 to 2021, 639 US VC-funded firms achieved unicorn status. We investigate why there are so many unicorns and why controlling shareholders give investors privileges to obtain unicorn status. We show that unicorns rely more than other VC-funded firms on organizational capital as well as...

Persistent link: https://www.econbiz.de/10013435166

1
2
3
4
5
6
7
8
9
10
Next
Last