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Asymmetric Information, Trading Volume, and Portfolio Performance

Jackson, Antony - 2013

In dealership markets, asymmetric information feeds through to higher transaction costs as dealers adjust their bid-ask spreads to compensate for anticipated losses. In this paper, we show that the presence of asymmetric information can also provide a positive externality to those market...

Persistent link: https://www.econbiz.de/10013081590

Heterogeneous information content of global FX trading

Ranaldo, Angelo; Somogyi, Fabricius - 2018 - This Version: December 12, 2018

across agents, time and currency pairs, consistent withthe asymmetric information theory and OTC market fragmentation. A …

Persistent link: https://www.econbiz.de/10011906507

Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

Non-Standard Errors in Portfolio Sorts

Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022

We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...

Persistent link: https://www.econbiz.de/10013404257

Impact of Size and Volume on Cryptocurrency Momentum and Reversal

Fičura, Milan - 2023

We analyse how cryptocurrency size and trading volume impact the momentum and reversal dynamics of their returns. We show that the previously reported weekly return reversal occurs for small and illiquid coins only (t-stat = -7.31), while the large and liquid coins exhibit weekly momentum effect...

Persistent link: https://www.econbiz.de/10014254276

Portfolio Transitions and Stock Price Dynamics

Obizhaeva, Anna A. - 2016

This paper employs a proprietary data set of portfolio transitions to analyze the short run price-volume relation and its association with the long run performance of newly hired and terminated managers. Unique to our study is its focus on price dynamics that is not affected by potential...

Persistent link: https://www.econbiz.de/10013004956

An Investor’s Guide to Crypto

Harvey, Campbell R.; Abou Zeid, Tarek; Draaisma, Teun; … - 2022

We provide practical insights for investors seeking exposure to the growing cryptocurrency space. Today, crypto is much more than just bitcoin, which historically dominated the space but accounted for just a 21% share of total crypto trading volume in 2021. We discuss a wide variety of tokens,...

Persistent link: https://www.econbiz.de/10013405854

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …

Persistent link: https://www.econbiz.de/10013272630

Speculative Investment and Risk Management of Bitcoin Exchange Rate Returns

Bueno, Pedro - 2017

Since its launch in 2008, Bitcoin becomes one of the most successful and fast-growing alternative currencies. As of 2017, the market capitalization is around $46 billions and arguably expected to continue growing. The Bitcoin to the US dollar exchange rate has been very volatile and fluctuating...

Persistent link: https://www.econbiz.de/10012950459

Information Content of Order Flow and Cross-Market Portfolio Rebalancing : Evidence for the Chinese Stock, Treasury and Corporate Bond Markets

Girardin, Eric - 2010

This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...

Persistent link: https://www.econbiz.de/10013141987