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Anonymity and the Information Content of the Limit Order Book
Duong, Huu Nhan; Kalev, Petko S. - In: Journal of International Financial Markets, … 30 (2014) C, pp. 205-219
We investigate the effect of broker anonymity on the information content of the limit order book on the Australian … Stock Exchange. We argue that the move to anonymity has stronger impact on institutional than individual investors. We … document that anonymity increases the informativeness of institutional limit orders about future volatility but has little …
Persistent link: https://www.econbiz.de/10010789911
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Order Aggressiveness in Limit Order Book Markets
Ranaldo, Angelo - 2013
I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models...
Persistent link: https://www.econbiz.de/10012754662
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Heterogeneous dividend preferences of Chinese individual and institutional investors : Evidence from categorized daily share holding data
Chen, Xin; Tang, Lin; Hu, Haiou - In: China Finance Review International 4 (2014), pp. 326-342
Purpose–The purpose of this paper is to examine preferences of Chinese individual and institutional investors to cash dividends and stock dividends. Using categorized daily holding information from the TOPVIEW database, the authors test how percentage holdings of individuals and institutional...
Persistent link: https://www.econbiz.de/10010960134
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Modern Technologies of Agrarian Business Venture Financing
Lupenko, Yuriy; Feshchenko, Volodymyr - In: Accounting and Finance (2015) 1, pp. 81-87
The article is devoted to study of features and prerequisites of venture investing of business, possibilities of modern tools and technologies of risk financing of companies, and substantiation of recommendations for their efficient application in agrarian sector of national economy. Interaction...
Persistent link: https://www.econbiz.de/10011268366
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The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors
Chen, Hung-Ling; Chow, Edward H.; Shiu, Cheng-Yi - In: Pacific-Basin Finance Journal 31 (2015) C, pp. 36-56
Using a unique data set, we find that large individual investors are successful at picking stocks. Large individual investors' correlated trades can not only move synchronous stock prices but also positively predict future returns. More importantly, they tend to trade before major earnings...
Persistent link: https://www.econbiz.de/10011263629
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Are all professional investors sophisticated?
Menkhoff, Lukas; Schmeling, Maik; Schmidt, Ulrich - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2008
Existing empirical evidence is inconclusive on whether professional investors show sophisticated behavior or not, a question which is at the heart of market efficiency. This ambiguous evidence is mostly based on trading data or laboratory evidence, which each has its limitations. We complement...
Persistent link: https://www.econbiz.de/10005010502
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Institut für Finanzmarktforschung, Wirtschafts- und … - 2015
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10011152748
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Who trades with whom? Individuals, institutions, and returns
Stoffman, Noah - In: Journal of Financial Markets 21 (2014) C, pp. 50-75
Using all trading in Finland over a 15-year period, I study the relation between price changes and the trading of individuals and financial institutions. On average, prices increase when institutions buy from individuals, and decrease when institutions sell to individuals. No such consistent...
Persistent link: https://www.econbiz.de/10011116722
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Deutsche Bundesbank - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10011161233
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Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market
Hsieh, Shu-Fan - In: International Review of Financial Analysis 29 (2013) C, pp. 175-188
Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors....
Persistent link: https://www.econbiz.de/10011056755