Similar Search Results

Call Market Experiments : Efficiency and Price Discovery Through Multiple Calls and Emergent Newton Adjustments

Plott, Charles - 2017

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled "call." The markets are independent trading "days" with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over...

Persistent link: https://www.econbiz.de/10012971806

Price Discovery in Emissions Permit Auctions

Burtraw, Dallas - 2014

Auctions are increasingly being used to allocate emissions allowances (“permits”) for cap and trade and common-pool resource management programs. These auctions create thick markets that can provide important information about changes in current market conditions. This paper reports a...

Persistent link: https://www.econbiz.de/10013069758

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

Persistent link: https://www.econbiz.de/10011556251

Market Transparency and Call Markets

Oehler, Andreas; Unser, Matthias - 1998

This paper reports the results of 16 experimental asset markets that explore the effects of trade transparency on the price formation process and its results using a more realistic design than related studies. The open orderbook does not improve informational efficiency and does not result in...

Persistent link: https://www.econbiz.de/10010296583

Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets

Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2001

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity and aggregation of information. The main focus lies on the comparison of different trading mechanisms of stock exchanges. Compared to most of financial markets experiments,...

Persistent link: https://www.econbiz.de/10010296586

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

Sharing price announcements

Janssen, Maarten C. W.; Karamychev, Vladimir A. - In: Games 16 (2025) 2, pp. 1-25

We present a simple model where, before competing in prices, firms announce which prices they intend to choose. Deviating from these announcements involves a cost. We show that sharing pricing intentions results in prices being set above their competitive levels. All equilibria result in prices...

Persistent link: https://www.econbiz.de/10015408259

Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange

Park, Seongkyu Gilbert - 2020

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by...

Persistent link: https://www.econbiz.de/10012846904

Price Discovery Using a Double Auction

Satterthwaite, Mark Allen - 2020

We devise a tractable model to study the buyer's bid double auction (BBDA) that allows correlated signals and interdependent values/costs. We demonstrate that simple, easily calculated equilibria exist in small markets. We prove that the incentive for strategic behavior vanishes at a O (1/η)...

Persistent link: https://www.econbiz.de/10012856625

Role of Option Prices in Analyzing the Valuation Impact of Corporate Events

Ali, Wajid - 2020

Event study, panel regression, and difference-in-difference techniques are among the most prominent research methodologies in corporate finance. However, these techniques are inappropriate if corporate events are anticipated to some degree, as most events are. This paper proposes options as an...

Persistent link: https://www.econbiz.de/10012833349