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The adverse selection component for the bid-ask spread: A revision of its estimation models
Farinós, José E.; García, C. José; Ibáñez, Ana M.ª - In: Cuadernos de Gestión 5 (2005) 1, pp. 13-35
One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial … methodologies like GMM or VAR. This paper analyses this set of models that allows the estimation of the bid–ask spread components …
Persistent link: https://www.econbiz.de/10008505674
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Introducing a spread into the Kyle model
Salomonsson, Marcus - Economics Institute for Research (SIR), … - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10005649280
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Market versus limit orders in an imperfectly competitive security
Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996
This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if...
Persistent link: https://www.econbiz.de/10005772345
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A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes
Takayama, Shino; Ozsoylev, Han - EconWPA - 2005
smaller trade sizes that do not have a positive bid-ask spread result in zero price change, while for larger trade sizes the …
Persistent link: https://www.econbiz.de/10005413239
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Continuous auctions and insider trading: uniqueness and risk aversion
Cho, Kyung-Ha - In: Finance and Stochastics 7 (2003) 1, pp. 47-71
The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...
Persistent link: https://www.econbiz.de/10005613458
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Asymmetric Information and International Corporate Social Responsibility
Lopatta, Kerstin; Buchholz, Frerich; Kaspereit, Thomas - ZenTra - Center for Transnational Studies - 2014
We investigate the relation between asymmetric information of insider trades and international corporate social responsibility for U.S. firms listed in the MSCI world index during the period 2004 to 2010. In comparison to current studies, which focus on measuring the interrelation between the...
Persistent link: https://www.econbiz.de/10010735754
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Does trading remove or bring frictions?
Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010
We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market....
Persistent link: https://www.econbiz.de/10009654205
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Searching out of Trading Noise: A Study of Intraday Transactions Cost
Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010
We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday...
Persistent link: https://www.econbiz.de/10008839491
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Risque d'estimation, coût du capital et communication des tests de dépréciation
Paugam, Luc; Ramond, Olivier; Husson, Bruno; Philippe, Henri - Université Paris-Dauphine (Paris IX) - 2013
The cost of equity capital is traditionally considered as an increasing function of the estimation risk – the risk of error regarding the distribution of a firm’s future cash flows (FCF). Under international GAAPs, IAS 36 “Impairment of assets” -based information disclosure conveys...
Persistent link: https://www.econbiz.de/10011246078
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Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10011258000