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First to “Read” the News: News Analytics and Institutional Trading
Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...
Persistent link: https://www.econbiz.de/10011252620
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Israel; Detailed Assessment of IOSCO Objectives and Principles of Securities Regulation
International Monetary Fund (IMF); International … - 2012
Israel’s compliance with International Organization of Securities Commissions’ objectives and Principles of Securities Regulation has been assessed. The regulatory regime is well developed and in most respects is comparable with that of major jurisdictions. For the most part, it is...
Persistent link: https://www.econbiz.de/10011242660
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People’s Republic of China; Detailed Assessment Report: IOSCO Objectives and Principles of Securities Regulation
International Monetary Fund (IMF); International … - 2012
semigovernment authorities. The China Securities Regulatory Commission has the ability to share public and nonpublic information with …
Persistent link: https://www.econbiz.de/10011242961
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Performance metrics for algorithmic traders
Rosenthal, Dale W.R. - Volkswirtschaftliche Fakultät, … - 2009
Portfolio traders may split large orders into smaller orders scheduled over time to reduce price impact. Since handling many orders is cumbersome, these smaller orders are often traded in an automated (“algorithmic”) manner. We propose metrics using these orders to help measure various...
Persistent link: https://www.econbiz.de/10009650665
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CORPORATE MERGERS IN INTERNATIONAL ECONOMIC INTEGRATION.
CAVES, R.E. - Harvard Institute of Economic Research (HIER), … - 1990
Persistent link: https://www.econbiz.de/10005777252
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How Troublesome Are Sterotypes in International Business?
katz, J.H. - Cornell - Center for Advanced Human Resource Studies - 1995
Persistent link: https://www.econbiz.de/10005618979
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Herding in financial markets: Bridging the gap between theory and evidence
Nautz, Dieter - Berlin Doctoral Program in Economics and Management Science
empirical perspective, we employ high-frequency, investor-specific trading data to test the theory-implied impact of information … information risk. In contrast, herding measures estimated for the financial crisis period cannot be explained by the herd model … to new public information and should not be misinterpreted as herd behavior. Creation Date: 201307 …
Persistent link: https://www.econbiz.de/10011268448
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Forecasting Market Impact Costs and Identifying Expensive Trades
Bikker, Jacob; Spierdijk, Laura; Hoevenaars, Roy; … - de Nederlandsche Bank - 2006
Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....
Persistent link: https://www.econbiz.de/10005021846
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Correlated Trades and Herd Behavior in the Stock Market
Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
trades is mainly due to the common reaction of investors to new public information and should not be misinterpreted as herd …
Persistent link: https://www.econbiz.de/10010549030
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Institutional Trading and Stock Returns: Evidence from China
Frijns, Bart; Lai, Qiang; Tourani-Rad, Alireza - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 01, pp. 1450003-1
Using a unique dataset containing daily institutional ownership information, we examine the relation between daily …
Persistent link: https://www.econbiz.de/10010752802