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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10010281344
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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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Asset Owners and Delegated Managers
Ang, Andrew - 2012
Asset owners (principals) typically do not manage their own investments and leave this job to delegated managers (agents). What is best for the asset owner, however, is usually not best for the fund manager. Additional agency conflicts arise when the asset owner does not know the quality and...
Persistent link: https://www.econbiz.de/10013103917
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DVA for Assets
Kenyon, Chris - 2014
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend Burgard&Kjaer (2011) to...
Persistent link: https://www.econbiz.de/10013064689
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Textual Sentiment in Finance : A Survey of Methods and Models
Kearney, Colm - 2016
We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...
Persistent link: https://www.econbiz.de/10013007694
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Price efficiency and trading behavior in limit order markets with competing insiders
Stöckl, Thomas - 2013
limit (market) orders if the asset's value is inside (outside) the bid-ask spread. (v) In situations where limit and market …
Persistent link: https://www.econbiz.de/10009744178
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Cross-Sectional Identification of Informed Trading
Bongaerts, Dion - 2016
We propose a new approach to measuring informed trading in individual securities based on a portfolio optimization model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order flow, taking into account the price impact of trading. The...
Persistent link: https://www.econbiz.de/10013000039
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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2019
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012903640
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Demand Shocks and Market Manipulation
Pinheiro, Marcelo - 2015
In this paper, we analyze the conflicts of interest of an informed agent who is responsible for divulging his private information about a company and has a reward function positively dependent on its stock price. We assume that the demand for the stock is subject to shocks that may increase...
Persistent link: https://www.econbiz.de/10013011536
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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2018
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012929586