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Order flow segmentation, liquidity and price discovery : the role of latency delays
Brolley, Michael; Cimon, David A. - 2018
to liquidity traders, total welfare falls; with relatively more speculators, total welfare rises. …
Persistent link: https://www.econbiz.de/10011814231
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Outside investor access to top management : market monitoring versus stock price manipulation
Schroth, Josef - 2020 - Last updated: October 28, 2020
This paper studies the role of voluntary disclosure in crowding out independent research about firm value. In the model, when inside firm owners make it easier for outside investors to obtain inexpensive biased information from the manager, investors rely less on costly unbiased research. As a...
Persistent link: https://www.econbiz.de/10012306701
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High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014
to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …
Persistent link: https://www.econbiz.de/10010441177
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A stochastic volatility model with conditional skewness
Feunou, Bruno; Tédongap, Roméo - 2011
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10009309462
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Broker routing decisions in limit order markets
Cimon, David A. - 2016
find that brokers preferentially route marketable orders to venues with lower liquidity demand fees, driving up the … execution probability at these venues and lowering adverse selection costs. When fees for liquidity supply and demand are … sufficiently different, brokers route liquidity supplying orders to separate venues, where investors suffer from lower execution …
Persistent link: https://www.econbiz.de/10011567612
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Adverse selection with heterogeneously informed agents
Davoodalhosseini, Seyed Mohammadreza - 2018
equilibrium being played. A switch from one equilibrium to another can lead to large drops in liquidity, price, trading volume and …
Persistent link: https://www.econbiz.de/10011797510
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The effect of oil price: shocks on asset markets : evidence from oil inventory news
Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...
Persistent link: https://www.econbiz.de/10012181225
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Centralizing over-the-counter markets?
Allen, Jason; Wittwer, Milena - 2021 - Last updated: August 10, 2021
We identify a sizable wealth redistribution channel which creates a monetary policy trade-off whereby short-term economic stimulus is followed by persistently lower output over the medium term. This trade-off is stronger in economies with more nominal household debt but weakened by a more...
Persistent link: https://www.econbiz.de/10012603256
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …
Persistent link: https://www.econbiz.de/10003790566
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When lower risk increases profit : competition and control of a central counterparty
Fontaine, Jean-Sébastien; Pérez Saiz, Héctor; Slive, … - 2012
with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade …-off between competition and risk. Increasing the number of dealers servicing the market decreases the price paid by hedgers but … more competition. Free-entry is optimal for all level of dealers' efficiency if they can constrain risk-taking by its …
Persistent link: https://www.econbiz.de/10009668404