Similar Search Results

Prices and informed trading : evidence from an early stock market

Acheson, Graeme G.; Coyle, Christopher; Turner, John D. - 2018

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

Persistent link: https://www.econbiz.de/10011817838

Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders

Chakravarty, Sugato; Sarkar, Asani; Wu, Lifan - 1998

Persistent link: https://www.econbiz.de/10001516039

Estimating the adverse selection cost in markets with multiple informed traders

Chakravarty, Sugato; Sarkar, Asani; Wu, Lifan - 1997

Persistent link: https://www.econbiz.de/10000988954

How does short selling affect liquidity in financial markets?

Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250

Persistent link: https://www.econbiz.de/10012003551

Liquidity supply and adverse selection in a pure limit order book market

Frey, Stefan; Grammig, Joachim - 2005

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …