Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

This paper investigates competitiveness in the Ukrainian stock market during local crisis of 2013–2015. The following hypothesis is tested: crisis decreases competitiveness in the stock market. The analysis is carried out for the most liquid stocks in the Ukrainian Exchange (UX) over the...

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...

This paper extends the study of Herrmann and Thomas (2005) on granularity in analyst forecasts at multiples of nickels and finds that forecasts at multiples of nickels are more optimistic, and induce weaker market responses. Granularity in analyst forecasts combined with managers’ incentive to...

Many experiments have been conducted on market mispricing, however there is a distinct lack of guidance over how mispricing should be measured. This raises concerns about the sensitivity of mispricing results to variations in the measurement procedure. In this paper, we investigate the...

News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend...

Can stock price movements be traced back partially to interpersonal utility effects? That is, are shareholders also chasing nonfinancial goals apart from generating profit under risk that can be ascribed neither to findings of behavioral finance nor to traditional economical theories? Inspired...

News sentiment has been empirically observed to have impact on financial market. However, finding a clear predictor of market returns using news sentiment remains a challenging task. This study investigates the relationship between news sentiment and cumulative market returns and volatility. We...

Excessive risk-taking of financial agents drew a lot of attention in the aftermath of the financial crisis. Low interest rates and subdued market volatility during the Great Moderation are sometimes blamed for stimulating risk-taking and leading to the recent financial crisis. In recent years,...

Mispricing (the difference between prices and their underlying fundamental values) is an important characteristic of markets. The literature on the topic consists of many different measures. This state of affairs is unsatisfactory, since it is not clear to which extent results are sensitive to...