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Resilient Price Impact of Trading and the Cost of Illiquidity

Roch, Alexandre F. - 2014

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and … tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs …)). Furthermore, we show that in limiting cases for some parameters of the model, we derive many existing liquidity models present in …

Persistent link: https://www.econbiz.de/10013067457

The price of the slow lane : traffic congestion and stock block trading premium

Cao, Tingqiu; Qian, Xianhang; Zhang, Le - In: International review of finance : the official journal … 24 (2024) 1, pp. 30-52

Persistent link: https://www.econbiz.de/10014507513

Asymmetric News and Asset Pricing

Suijs, Jeroen - 2011

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Persistent link: https://www.econbiz.de/10013119323

Noise, Beliefs, and Momentum

Jordan, Steven J. - 2013

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model ﬁt the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

Persistent link: https://www.econbiz.de/10013089438

Differential Awareness of Rare Disasters and the Pricing Kernel Puzzle

Siddiqi, Hammad - 2017

Risk-averse expected utility maximization implies that the pricing kernel must be a non-increasing function of aggregate wealth. However, empirical research has found that the pricing kernel frequently displays a locally increasing portion in aggregate wealth. This is known as the pricing kernel...

Persistent link: https://www.econbiz.de/10012969310

Speed, Fragmentation, and Asset Prices

Pagnotta, Emiliano - 2020

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Trading venues invest in … show how the resulting market organization affects asset liquidity and the composition of participating investors. In a … consolidated market, speed investments raise liquidity and prices. When markets fragment, liquidity and asset prices can move in …

Persistent link: https://www.econbiz.de/10012857144

Abnormal Trading Around Common Factor Pricing Models

Yost-Bremm, Chris - 2014

I find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if...

Persistent link: https://www.econbiz.de/10013047789

Trading fees and intermarket competition

Payaides, Marios; Rindi, Barbara; Werner, Ingrid M. - 2018

Regulators, exchanges, and politicians are considering reining in maker-taker pricing, which is used as a competitive tool by trading venues to acquire order flow. Examining the 2013 reduction in trading fees operated by BATS on its European venues, we document significant effects on market...

Persistent link: https://www.econbiz.de/10011963249

The pricing kernel puzzle : a behavioral explanation

Siddiqi, Hammad; Quiggin, John C. - In: Cogent economics & finance 7 (2019) 1, pp. 1-20

We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing...

Persistent link: https://www.econbiz.de/10014232619

Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Chen, Richard - 2017

hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we …. Besides it also enables us to empirically measure aggregate liquidity risks by these test statistics. As byproducts …

Persistent link: https://www.econbiz.de/10012970519

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