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Transactions, market orders and limit orders are three major factors which affect a specialist's information set and her inventory position. In modeling a specialist's quote updating process, before any exclusion of any of these factors, one should first address the fundamental question of their...
Persistent link: https://www.econbiz.de/10005245227
The goal of this paper is to investigate whether specialists use quoted depth as a strategic choice variable. In particular, the paper investigates whether specialits manage quoted depth to reduce risks associated with information events. In order to study specialists' behavior, quoted depth...
Persistent link: https://www.econbiz.de/10005245244
We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other sources, by focusing on investor reaction to rating changes that were not accompanied by any economic fundamental event - Moody's refinement of its rating system. This refinement was...
Persistent link: https://www.econbiz.de/10005245298
The idea that extreme trading activity (as measured by trading volume) contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a period of one day to a week tend to appreciate (depreciate) over the...
Persistent link: https://www.econbiz.de/10005245349
Exchange seats are capital assets that confer access to the trading floor. On the New York Stock Exchange (NYSE), seta are bought and sold in a public auction market. As such, their prices reflect expectations about future activity and returns for the stock market as a whole. For this reason,...
Persistent link: https://www.econbiz.de/10005245350