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A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes
Takayama, Shino; Ozsoylev, Han - EconWPA - 2005
This paper studies how the trade size and the historical sequence of trades affect bid-ask spreads, investors’ trading strategies, and the market maker’s learning process in a multi-period economy. First, we show that there is a nonzero cut-off size below which informed traders never buy or...
Persistent link: https://www.econbiz.de/10005413239
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Endogenous Public Information and Welfare
Vives, Xavier - CESifo - 2011
.g., prices) convey information and does not balance optimally non-fundamental volatility and the dispersion of actions. Under …This paper performs a welfare analysis of economies with private information when public information is endogenously … (restricted) efficient even when feasible allocations share similar properties to the market context (e.g., linear in information …
Persistent link: https://www.econbiz.de/10009144884
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Geldpolitik in den USA - die Fed in der Zinsfalle?
Illing, Gerhard - In: Ifo Schnelldienst 57 (2004) 06, pp. 31-37
Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...
Persistent link: https://www.econbiz.de/10005047003
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Peru; Second Review Under the Stand-By Arrangement and Requests for Establishment of Performance Criteria, Wavier of Nonobservance of Performance Criteria, and Rephasing of Future...
International Monetary Fund (IMF); International … - 2007
This paper discusses key findings of the Second Review Under the Stand-By Arrangement for Peru. The economy continued to perform well in 2004. Real GDP grew by 5.1 percent, inflation was 3.5 percent at end-December, and the fiscal deficit of the combined public sector narrowed to 1.1 percent of...
Persistent link: https://www.econbiz.de/10011244851
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A Case Study of Illegal Insider Trading — The Scandal of Vultures' Insider Trading
Huang, Yu Chuan; Chan, Shu Hui - In: Review of Pacific Basin Financial Markets and Policies … 14 (2011) 01, pp. 81-99
PQI's stock based on the illegally obtained insider information. The empirical results indicate that the vultures' selling …
Persistent link: https://www.econbiz.de/10008863008
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El componente de selección adversa de la horquilla de precios cotizada: una revisión de los modelos de estimación
García, C. José; Ibáñez, Ana M.ª; Farinós, José E. - In: Cuadernos de Gestión (2005)
[ES] Una de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan los mercados financieros, despertando quizá un mayor interés el de...
Persistent link: https://www.econbiz.de/10011277665
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Why do firms pay for liquidity provision in limit order markets?
Skjeltorp, Johannes A; Odegaard, Bernt Arne - Handelshøgskolen, Universitetet i Stavanger - 2010
In recent years, a number of electronic limit order have reintroduced market makers for some securities (Designated Market Makers). This trend has mainly been initiated by financial intermediaries and listed firms themselves, without any regulatory pressure. In this paper we ask why firms are...
Persistent link: https://www.econbiz.de/10008565795
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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
models are a powerful tool to investigate how information is incorporated into quotes. …
Persistent link: https://www.econbiz.de/10008505674
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Market versus limit orders in an imperfectly competitive security
Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996
behaves as a price taker, she will choose market orders if her private information is very precise and she will choose limit … choice is to place limit orders whatever the precision of her private information. …
Persistent link: https://www.econbiz.de/10005772345
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Insider trading with correlation between liquidity trading and a public signal
Nishide, Katsumasa - In: Quantitative Finance 9 (2009) 3, pp. 297-304
We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's λ, the price sensitivity to the order flow, can even be non-monotonic, depending on...
Persistent link: https://www.econbiz.de/10004982258