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Investment Horizons and Asset Prices Under Asymmetric Information

Albagli, Elias - 2014

increase, the age-adjusted risk aversion of investors fall, and the risk transfer from forced liquidators into voluntary buyers …

Persistent link: https://www.econbiz.de/10013064961

Credit Market Freezes

Benmelech, Efraim - 2017

Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically observed during financial crises. In the financial crisis of 2008-09, the structured credit market froze, issuance of corporate bonds declined, and secondary credit markets became...

Persistent link: https://www.econbiz.de/10012953727

Learning from Trading with Ambiguous Information

Kallir, Ido - 2014

In this paper we study long-term learning process under the conditions of ambiguous information. We study a unique empirical setting in which pieces of the ambiguous information are sequentially provided to institutional investors. We use parametric and non-parametric models to show that the...

Persistent link: https://www.econbiz.de/10013058489

Strategic Insider Trading : Disguising Order Flows to Escape Trading Competition

Gu, Dingwei; Liu, Xin; Sun, Hanwen; Zhao, Huainan - 2021

Short sellers actively exploit trading opportunities from insider sales. We argue that, in response to concern about potential order flow information leakage, insiders strategically disguise their order flows to escape trading competition. Our model predicts that, when short sellers are...

Persistent link: https://www.econbiz.de/10013244623

Adjustive Trading : An Analysis of Institutional Investors’ Information Advantages

Jiao, Yawen - 2020

Investors with future-return-related information use it to adjust past decisions that no longer fit. Using this rationale, we decompose institutional trading into adjustive (adjusting past portfolio decisions) and implied (implied by past portfolio weights) trades. Adjustive trades positively...

Persistent link: https://www.econbiz.de/10012849201

Liquidity, Trade, and Investor-Identity Disclosure

Verrecchia, Robert E.; Zhu, Christina - 2022

This study tests whether disclosing a trader's identity dampens or stimulates subsequent trading volume based on the trader's reputation for being informed. While a reputation for being informed makes markets less liquid, thus inhibiting subsequent trade ("illiquidity effect"), the information...

Persistent link: https://www.econbiz.de/10013298823

The Effect of Information Quality on Liquidity Risk

Ng, Jeffrey - 2013

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and … association between information quality and liquidity risk is stronger in times of large shocks to market liquidity …

Persistent link: https://www.econbiz.de/10013093674