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We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...
Persistent link: https://www.econbiz.de/10011457384
Management Directive (AIFMD) targets funds, which could increase compliance costs and reduce the potential investor pool; the … across the three regulations. For Basel III we find support for the regulatory burden hypothesis of the bank lending channel …
Persistent link: https://www.econbiz.de/10011514259
The paper offers an empirical analysis of the effects of sanctions decided by the Financial Markets Authority (AMF) on the reputation of firms in France. Using an event study, we intend to show the impact of three events on the stock prices: opening of an investigation by the AMF; issuance of a...
Persistent link: https://www.econbiz.de/10013021629
We examine how traders react to two prominent stock market regulations. Under a constant fundamental value (FV) process … inexperienced. Under a Markov-process FV, there is no evidence for these regulations to reduce mispricing. The novel Markov process … also serves as a testbed for several financial hypotheses related to the regulations. We find that price limits do not …
Persistent link: https://www.econbiz.de/10013213876
This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...
Persistent link: https://www.econbiz.de/10013063851
corporate governance affects firms’ stock returns and also how the quality of corporate governance is chosen endogenously. The … model predicts that in equilibrium the quality of corporate governance correlates positively with β and idiosyncratic …
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