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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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Pensions : A Complex Landscape
Swarup, Dr. Amarendra - 2010
, despite this spotlight on pensions, many important facets remain badly understood and need to be discussed in greater detail …. Most observers would agree that societies have not yet reached the end of the reform process and that dealing with pensions … pensions. The general issue under consideration is not new. How to structure the future provision of pensions, taking into …
Persistent link: https://www.econbiz.de/10013144559
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Money Market Funds, Bank Runs and the First Mover Advantage
Hannam, Mark - 2013
Several recent reports from regulatory bodies have recommended that money market funds should be required to move from stable to variable net asset valuation pricing, to reduce the risk of first-mover advantage and the risk of a run on the fund. Most money market fund sponsors doubt that this...
Persistent link: https://www.econbiz.de/10013089449
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Improved Analytic VaR that Avoids Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...
Persistent link: https://www.econbiz.de/10013014636
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Trading Places : Price Leadership and the Competition for Order Flow
Ibikunle, Gbenga - 2018
We investigate the role of price leadership and informed trading in the competition for order flow between high-tech entrant trading venues and established national trading venues. An analysis of BATS Chi-X Europe (Chi-X), a high-tech entrant, and London Stock Exchange (LSE), an established...
Persistent link: https://www.econbiz.de/10012937832
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An Assessment of the Competitive Effects of the Proposed Merger of the New York Stock Exchange and the Nasdaq Stock Market
Brunell, Robert - 2020
In March of 2000 the New York Stock Exchange proposed a merger with The Nasdaq Stock Market. Applying a qualitative assessment to the proposed merger from the organizations' perspective it is argued that the merger would be favorable for both organizations. Applying a quantitative assessment to...
Persistent link: https://www.econbiz.de/10012825721
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Competition Among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012868588
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A Multiplicative Factor for Analytic VaR to Avoid Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...
Persistent link: https://www.econbiz.de/10013009682
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Competition among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2020
I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...
Persistent link: https://www.econbiz.de/10012857042
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Optimal Benchmarking for Active Portfolio Managers
Lioui, Abraham - 2014
Within an agency theoretic framework adapted to the portfolio delegation issue, we show how to construct optimal benchmarks. In accordance with U.S. regulations, the benchmark-adjusted compensation scheme is taken to be symmetric. The investor's control consists in forcing the manager to adopt...
Persistent link: https://www.econbiz.de/10013054382