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Competition in Exchanges and Reputational Concerns

Boussetta, Selma - 2021

reputation effects induces strategic behaviour. The results show that overestimating the quality of a project is an equilibrium … despite the presence of reputation costs. Counterintuitively, introducing competition leads to more lax requirements than in … the monopolistic case and reduces welfare as long as the reputation of the competitor is higher than that of the …

Persistent link: https://www.econbiz.de/10013222422

Signaling by Underpricing the Initial Public Offerings of Primary Listings in an Emerging Market

Cornanic, Ales - 2013

The signaling hypothesis suggests that firms have incentives to underprice their initial public offerings (IPOs) to signal their quality to the outside investors and to issue seasoned equity (SEO) at more favorable terms. While the initial empirical evidence on the signaling hypothesis was weak,...

Persistent link: https://www.econbiz.de/10013081166

Underwriters’ Allocation Power and Adverse Selection Costs in the IPO Process

Mazouz, Khelifa - 2018

This study uses a unique and extensive data set of over 28.2 million investors' applications to examine the theory of adverse selection under two distinct regulatory regimes (discretionary against mandatory clawback provision) in relation to IPO share allocation. Consistent with Rock's (1996)...

Persistent link: https://www.econbiz.de/10012938095

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

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. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Persistent link: https://www.econbiz.de/10012926760

The Sensitivity of Trading to the Cost of Information

Frino, Alex - 2020

This study examines the impact of changes in data feed pricing schedules on the price discovery between competing venues, as espoused by Cespa & Foucault (2014). We utilize three exogenous events stemming from a staggered increase in the data feed price that transpired on the Chicago Mercantile...

Persistent link: https://www.econbiz.de/10012841242

A State-Space Modeling of the Information Content of Trading Volume

Rzayev, Khaladdin - 2019

We propose a state-space modeling approach for decomposing trading volume into its liquidity-driven and information-driven components. Using a set of high-frequency S&P 500 stock data, we show that informed trading is linked with a reduction in volatility, illiquidity, and toxicity/adverse...

Persistent link: https://www.econbiz.de/10012900185

Information Shares in a Two-Tier FX Market

Piccotti, Louis R. - 2019

Using several measures of information share, we examine price discovery across the inter-dealer and dealer-customer market tiers in the currencies market. In the spot market, the information share of the inter-dealer tier is higher than that of the dealer-customer one for non-financial sector...

Persistent link: https://www.econbiz.de/10012902880

The Impact of Anonymity on Unsophisticated Liquidity and Changing Information Asymmetry

Li, Yijie - 2019

This paper finds that in Nasdaq Helsinki where brokers can voluntarily reveal or conceal identities, unsophisticated traders are less willing to trade after anonymous trades than non-anonymous trades. Using intraday order and trade data of large-cap stocks to which the voluntary anonymity model...

Persistent link: https://www.econbiz.de/10012892982

Private Information in Currency Markets

Michaelides, Alexander - 2018

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower...

Persistent link: https://www.econbiz.de/10012936559

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