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corporate managers and institutional investors, we find that the trades by these two types have different asset pricing … implications. Cross-sectionally, stocks more heavily bought by corporate managers have higher average returns compared to their … buy-to-sell ratio of corporate managers shows no predictive power …
Persistent link: https://www.econbiz.de/10012834521
In this paper, the interactions between a large informed trader (IT, for short) and a high-frequency trader (HFT, for short) who can anticipate the former's incoming order are studied in an extended Kyle's model. Equilibria under various specific situations are discussed. We find that, in...
Persistent link: https://www.econbiz.de/10014350908
This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...
Persistent link: https://www.econbiz.de/10015396109
This paper studies the price discovery dynamics in an order-driven market. Based on the transaction data on individual stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC40 stocks before and after the implementation of the...
Persistent link: https://www.econbiz.de/10012923999
This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors' behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international...
Persistent link: https://www.econbiz.de/10013111112
Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban...
Persistent link: https://www.econbiz.de/10013125910
We provide evidence concerning the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. Accounting rules, through their interactions with capital regulations, alter financial institutions' trading behavior. The insurance industry provides a...
Persistent link: https://www.econbiz.de/10013037305
We provide evidence concerning the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. Accounting rules, through their interactions with capital regulations, alter financial institutions' trading behavior. The insurance industry provides a...
Persistent link: https://www.econbiz.de/10013008381
This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of...
Persistent link: https://www.econbiz.de/10012852872
Fractional trading (FT)—the ability to trade less than a full share—allows low-budget retail investors to trade high-priced stocks. This paper quantifies FT's impact on retail ownership and trading of high-priced stocks by exploiting its sequential introduction at four brokerage firms since...
Persistent link: https://www.econbiz.de/10013321811