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The impact of competition and information on intraday trading
Malinova, Katya; Park, Andreas - In: Journal of banking & finance 44 (2014), pp. 55-71
Persistent link: https://www.econbiz.de/10010409963
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Intraday Trading Patterns: The Role of Timing
Malinova, Katya; Park, Andreas - University of Toronto, Department of Economics - 2009
-shaped) volume and probability of informed trading (PIN). Competition increases market participation and causes more pronounced …In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders …
Persistent link: https://www.econbiz.de/10005029660
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Optimal research in financial markets with heterogeneous private information: a rational expectations model
Tinn, Katrin - 2005
This paper investigates prices and endogenous research decision for financial assets. In rational expectations models with public information, higher order beliefs make investors to overweight the public information relative to underlying fundamentals. The extent of this mispricing is higher if...
Persistent link: https://www.econbiz.de/10011604539
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Higher Order Expectations in Asset Pricing
BACCHETTA, Philippe; WINCOOP, Eric VAN - Swiss Finance Institute - 2004
In this paper, we examine formally Keynes' idea that higher order beliefs can drive a wedge between an asset price and its fundamental value based on expected future payoffs. In a dynamic noisy rational expectations model, higher order expectations add an additional term, which we call the...
Persistent link: https://www.econbiz.de/10005827315
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Bank loan information and information asymmetry in the stock market : evidence from China
Ye, Yanyi; Wang, Yun; Yang, Xiaoguang - In: Financial innovation : FIN 8 (2022), pp. 1-28
In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and bank loans of all publicly listed firms on the...
Persistent link: https://www.econbiz.de/10013272640
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VPIN and the Flash Crash
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011
with trading intensity. Generally, we caution against adoption of any specific market stress metric until it is compared …
Persistent link: https://www.econbiz.de/10009644870
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Buy, sell, or hold? A sense-making account of factors influencing trading decisions
Sobolev, Daphne; Chan, Bryan; Harvey, Nigel - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-21
culture and personality of traders in a financial trading task. Participants were given 12 virtual shares of financial assets …. Western participants had lower trading latencies and lower return dispersions than Eastern participants. Those with greater … openness to experience had lower trading latencies. Participants bought more shares when they forecast that prices would rise …
Persistent link: https://www.econbiz.de/10011988729
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Learning (not) to trade: Lindy's law in retail traders
Godina, Teodor; Kassibrakis, Serge; Malamud, Semyon; … - 2020
We develop a rational model of trading behavior in which the agents gradually learn about their ability to trade, and … exit after poor trading performance. We demonstrate that it is optimal for experienced traders to "procrastinate" and … decisions produce non-trivial and non-monotonic population-wide linkages between performance, exits, and trading experience …
Persistent link: https://www.econbiz.de/10012419675
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Buy, sell, or hold? : a sense-making account of factors influencing trading decisions
Sobolev, Daphne; Chan, Bryan; Harvey, Nigel - In: Cogent economics & finance 5 (2017) 1, pp. 1-21
culture and personality of traders in a financial trading task. Participants were given 12 virtual shares of financial assets …. Western participants had lower trading latencies and lower return dispersions than Eastern participants. Those with greater … openness to experience had lower trading latencies. Participants bought more shares when they forecast that prices would rise …
Persistent link: https://www.econbiz.de/10011877502
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Does geography matter to bondholders?
Francis, Bill; Hasan, Iftekhar; Waisman, Maya - 2007
We find that the location of corporate headquarters significantly affects the firm’s bondholders. Similar to Loughran and Schultz (2006) and others, who show that investors are better able to obtain information on nearby companies, we look at firms located in large metropolitan cities, small...
Persistent link: https://www.econbiz.de/10010292217