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Chapter 9. Market Microstructure
Stoll, Hans R. - 2003
. Price impacts of trading from block trades, from herding or from other sources, are considered in Section 6. Issues in the …
Persistent link: https://www.econbiz.de/10014023867
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Price Discovery from Offer Price to Opening Price of Initial Public Offerings
Aggarwal, Reena; Wu, Yanbin - 2021
We examine the price discovery process of initial public offerings (IPOs) from the offer price to the first day’s open … price. Stock exchanges have made major changes to the IPO preopening process, and introduced an open auction process in … which all investors are able to enter orders and participate in price discovery. The time spent in preopening has increased …
Persistent link: https://www.econbiz.de/10013220570
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Does banks size distort market prices? : evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - 2009
-big-to-be-rescued. While the price distortion for these banks decreases the existence of banks that are considered to be toobig …
Persistent link: https://www.econbiz.de/10003846898
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Evaluating the information in the Federal Reserve stress tests
Flannery, Mark; Hirtle, Beverly J.; Kovner, Anna - 2015
We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...
Persistent link: https://www.econbiz.de/10011342852
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Opaque Banks, Price Discovery, and Financial Instability
Jones, Jeffrey S. - 2012
Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial …-merger banks that gained most from merger activities also experienced the largest price declines during the subsequent 2007 …
Persistent link: https://www.econbiz.de/10013116850
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Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …
Persistent link: https://www.econbiz.de/10012926760
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Institutional Trading Momentum and Mispricing
Bulsiewicz, James - 2017
I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...
Persistent link: https://www.econbiz.de/10012971888
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The Bond Pricing Implications of Rating-Based Capital Requirements
Murray, Scott - 2020
This paper demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers' low demand for investment-grade (IG) bonds with a rating close to non-investment-grade, these bonds are underpriced....
Persistent link: https://www.econbiz.de/10012854113
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Does Banks Size Distort Market Prices? Evidence for Too-Big-To-Fail in the CDS Market
Völz, Manja - 2016
-big-to-be-rescued. While the price distortion for these banks decreases the existence of banks that are considered to be toobig …
Persistent link: https://www.econbiz.de/10012989259
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The Value of Being Systemically Important : Event Study on Regulatory Announcements for Banks
Kleinow, Jacob - 2015
It is assumed that the awarding of a "systemic importance" seal by the regulator has a positive effect on the equity value of its holder. By employing an event study analysis on a new set of regulatory announcements, we find that financial market participants react to these announcements which...
Persistent link: https://www.econbiz.de/10013034358