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Do ETFs increase the commonality in liquidity of underlying stocks?
Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021
-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are … of Russell indexes, and ETF trading halts, to establish the causal effect of ETF ownership and the arbitrage mechanism …
Persistent link: https://www.econbiz.de/10012490478
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2004
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10009524821
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10008758073
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Transaction costs and value premium
Agarwal, Vikas; Wang, Lingling - 2007
Value premium has been well documented in the finance literature. This paper empirically examines whether the value strategy of buying value stocks and selling growth stocks is profitable after controlling for transaction costs. Using the limited dependent variable estimate of transaction costs...
Persistent link: https://www.econbiz.de/10009525973
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The liquidity premium in CDS transaction prices : do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - 2015 - [This version]: August 2015
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity strongly affects credit default swap premiums. We identify the following effects: First, transaction direction affects prices, as buy (sell) orders lead to premium increases...
Persistent link: https://www.econbiz.de/10011308604
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Estimation of trading costs : trade indicator models revisited
Theissen, Erik; Zehnder, Lars Simon - 2014
It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem which is caused by a negative correlation between the arrival of public...
Persistent link: https://www.econbiz.de/10010399356
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Overconfidence among professional investors : evidence from mutual fund managers
Pütz, Alexander (contributor); Ruenzi, Stefan (contributor) - 2008
We examine overconfidence among equity mutual fund managers. While overconfidence has been extensively documented among retail investors, evidence from professional investors is scarce. Consistent with theories of overconfidence, we find that fund managers trade more after good past performance....
Persistent link: https://www.econbiz.de/10003783625
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Informed trading, information asymmetry and pricing of information risk : empirical evidence from the NYSE
Yadav, Pradeep; Bardong, Florian; Bartram, Söhnke M. - 2009
We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...
Persistent link: https://www.econbiz.de/10003919367
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Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability
Jank, Stephan - 2012
This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...
Persistent link: https://www.econbiz.de/10009663676
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Overconfidence among professional investors : evidence from mutual fund managers
Pütz, Alexander (contributor); Ruenzi, Stefan (contributor) - 2010 - First Version: August 2007, This Version: November 2010
We examine overconfidence among equity mutual fund managers. While overconfidence has been extensively documented among retail investors, evidence from professional investors is scarce. Consistent with theories of overconfidence, we find that fund managers trade more after good past performance....
Persistent link: https://www.econbiz.de/10009705513