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Foucault, Thierry; Hombert, Johan; Roşu, Ioanid - In: The journal of finance : the journal of the American … 71 (2016) 1, pp. 335-382

Persistent link: https://www.econbiz.de/10011561930

News trading and speed

Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - 2015

We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is "fast"), versus when he cannot (is "slow"). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with...

Persistent link: https://www.econbiz.de/10010504950

Financialisation and the microstructure of commodity markets : a qualitative investigation of trading strategies of financial investors and commercial traders

Heumesser, Christine; Staritz, Cornelia - 2013

traders, price discovery and hedging. The analysis builds on interviews with different types of market participants and … traders such as multinational trading houses typically pursue hedging and speculative trading strategies. Though financial … markets seem to find it more difficult to use markets for hedging given the increased complexity, speed and short …

Persistent link: https://www.econbiz.de/10010223016

The role of fundamentals and financialisation in recent commodity price developments : an empirical analysis for wheat, coffee, cotton, and oil

Ederer, Stefan; Heumesser, Christine; Staritz, Cornelia - 2013

In the context of recent commodity price hikes, the financialisation of commodity derivative markets, reflected in the increased presence of financial investors and new financial products such as commodity index and exchange traded funds has been controversially discussed. Many studies focus on...

Persistent link: https://www.econbiz.de/10010223026

Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency

Breugem, Matthijs - 2017

We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...

Persistent link: https://www.econbiz.de/10012952505

Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency

Breugem, Matthijs - 2018

We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in...

Persistent link: https://www.econbiz.de/10012934752

Institutional investors and information acquisition : implications for asset prices and informational efficiency

Breugem, Matthijs; Buss, Adrian - In: The review of financial studies 32 (2019) 6, pp. 2260-2301

Persistent link: https://www.econbiz.de/10012033827

Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency

Breugem, Matthijs - 2017

Persistent link: https://www.econbiz.de/10012455121

A model of financialization of commodities

Başak, Suleyman; Pavlova, Anna - 2015

Persistent link: https://www.econbiz.de/10011299571

A Model of Financialization of Commodities

Basak, Suleyman - 2015

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...

Persistent link: https://www.econbiz.de/10013036073

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