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Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
van der Wel, Michel; Menkveld, Albert; Sarkar, Asani - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10010326072
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Estimating the Probability of Informed Trading: Does Trade Misclassification Matter?
Grammig, Joachim G.; Theissen, Erik - 2002
Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...
Persistent link: https://www.econbiz.de/10010274034
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Globalization of Corporate Covernance: The American Influence on Dismissal Performance Sensitivity of European CEOs
Jungeilges, Jochen A.; Oxelheim, Lars; Randoy, Trond - 2010
This study examines how globalization of corporate governance practices influence the risk of European CEOs being dismissed. We argue that the harsh monitoring of the American corporate governance system spills over to the rest of the world as a result of this globalization. We focus on direct...
Persistent link: https://www.econbiz.de/10010320346
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Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE
Yadav, Pradeep K.; 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/10010302554
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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10010303693
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Minority shareholders in the Finnish system of corporate governance
Kaisanlahti, Timo - 2002
English origin common-law countries than in ones with civil-law tradition. Moreover, within the sphere of civil-law, Finland … provide also some remarks on the opinions expressed by La Porta et al. about the minority protection in Finland. The comments …
Persistent link: https://www.econbiz.de/10010285271
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290
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Elintarvikkeiden hinnanmuodostus ja markkinoiden toimivuus
Kotilainen, Markku; Koski, Heli; Mankinen, Reijo; … - 2010
report consists of international comparisons. The main comparison countries are the so-called old EU countries (EU15) of … the international comparisons, the price formation of the food chain, degree of concentration, competition, and the … position of small producers is analysed for Finland in more detail. The main findings of the study are as follows: 1) a …
Persistent link: https://www.econbiz.de/10010273052
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Human capital investments in children: A comparative analysis of the role of parent-child shared time in selected countries
Österbacka, Eva; Merz, Joachim; Zick, Cathleen D. - 2010
composition of parent-child time varies across countries with different welfare regimes: Finland, Germany and the United States … von Eltern-Kind Zeiten in unterschiedlichen Ländern mit differenten Wohlfahrtsregimes variiert: Finnland, Deutschland und …
Persistent link: https://www.econbiz.de/10010290473
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010303678