Similar Search Results

Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - 2020

novel call auction model with insider information. Our model predicts that more insider information improves informational … of insider information the call auction performs worse than continuous double auction. Testing these hypotheses in the … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …

Persistent link: https://www.econbiz.de/10012437539

Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - In: The European journal of finance 29 (2023) 3, pp. 255-277

Persistent link: https://www.econbiz.de/10014322519

Closing Auction, Passive Investing, and Stock Prices

Wu, Yanbin - 2019

Over the last decade, the volume of market-on-close orders has increased to more than 10% of the entire day's trading volume. This paper investigates this rise and documents four stylized facts: (i) passive investing leads to greater usage of market-on-close orders, consistent with passive...

Persistent link: https://www.econbiz.de/10012864385

Measuring the effectiveness of volatility auctions

Castro, Carlos; Agudelo, Diego A.; Preciado, Sergio - In: International review of economics & finance : IREF 70 (2020), pp. 566-581

Persistent link: https://www.econbiz.de/10012486837

Optimal bidding in hourly and quarter-hourly electricity price auctions : trading large volumes of power with market impact and transaction costs

Narajewski, Michał; Ziel, Florian - In: Energy economics 110 (2022), pp. 1-28

Persistent link: https://www.econbiz.de/10013349916

Who trades at the close? : implications for price discovery and liquidity

Bogousslavsky, Vincent; Muravyev, Dmitriy - In: Journal of financial markets 66 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014472943

An event study of potential insider trading in the Saudi stock market

Alqurayn, Abdulrhman; Kulendran, Nada; Ihalanayake, Ranjith - In: Cogent economics & finance 12 (2024) 1, pp. 1-18

This study assesses the level of potential insider trading on the Saudi stock market (Tadawul) before and after the introduction of financial reforms. The level of potential insider trading is estimated by employing the market cleanliness measure (MCM) which determines the proportion of...

Persistent link: https://www.econbiz.de/10015375197

Insider Trading with Temporary Price Impact

Barger, Weston - 2020

subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model … equilibrium behaviour. In a continuous time analogue of the single auction model, incorporation of a transaction costs allows the …

Persistent link: https://www.econbiz.de/10012827084

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

Uncertain growth, ambiguity aversion and asset prices

Liu, Hening - 2011

I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....

Persistent link: https://www.econbiz.de/10009411461