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Private Information behind Insider Trades : Evidence from Cross Section and Time Series

Chi, Yeguang - 2020

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

The Effects of High-frequency Anticipatory Trading : Small Informed Trader vs. Front-runner

Xu, Ziyi; Cheng, Xue - 2023

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

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

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

The Equity Market and Its Price Discovery Risk : An Empirical Study for the CAC40 Stock Market Index

Gillet, Roland L. - 2018

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

Time-Variations in Herding Behavior : Evidence from a Markov Switching SUR Model

Klein, Arne Christian - 2012

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

Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan

Bohl, Martin T. - 2011

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

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew - 2015

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

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew - 2016

Persistent link: https://www.econbiz.de/10013008381

The role of market efficiency on implied cost of capital estimates : an international perspective

Schröder, David - 2020

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

Da, Zhi; Fang, Vivian W.; Lin, Wenwei - 2022

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