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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 consistent with intuition and earlier theory and empirical evidence …
Persistent link: https://www.econbiz.de/10003919367
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Naked short selling : the emperor's new clothes?
Yadav, Pradeep; Fotak, Veljko; Raman, Vikas - 2009
Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked...
Persistent link: https://www.econbiz.de/10003919368
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Cross-sectional analysis of risk-neutral skewness
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009
firms is based on adequate liquidity and trading interest across different strike prices in the options market, ensuring …
Persistent link: https://www.econbiz.de/10003919376
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Tell-tale tails : a data driven approach to estimate unique market information shares
Grammig, Joachim; Peter, Franziska J. - 2010
The trading of securities on multiple markets raises the question of each market's share in the discovery of the …
Persistent link: https://www.econbiz.de/10008666526
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The impact of iceberg orders in limit order books
Frey, Stefan; Sandås, Patrik - 2009
traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show … impact consistent with liquidity rather than informed trading. The presence of iceberg orders is associated with increased … trading consistent with a positive liquidity externality, but the reduced order book transparency associated with iceberg …
Persistent link: https://www.econbiz.de/10003857817
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Can internet search queries help to predict stock market volatility?
Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...
Persistent link: https://www.econbiz.de/10009357284
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005 - This Draft: May, 2005
is based on a model of limit order trading in which traders have information on future price volatility. As limit orders … Order Trading ; Anonymity ; Transparency ; Liquidity ; Volatility Forecasts …
Persistent link: https://www.econbiz.de/10009524806
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Liquidity commonality beyond best prices
Kempf, Alexander; Mayston, Daniel - 2006
This paper investigates the commonality of liquidity in an open limit order book market. We find that commonality in liquidity becomes stronger the deeper we look into the limit order book. While commonality is only about 2% at the best prices, it increases up to about 20% inside the limit order...
Persistent link: https://www.econbiz.de/10009525172
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Dealer spreads in the corporate bond market : agent vs. market-making roles
Ederington, Louis H.; Guan, Wei; Yadav, Pradeep - 2015 - This version: September 2, 2015, Initial draft: January 2012
's internal search costs. Finally, we show that many existing studies have underestimated average overall trading costs in the …
Persistent link: https://www.econbiz.de/10011334154
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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