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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market
Edgar, Matthew - 2011
important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …
Persistent link: https://www.econbiz.de/10013121143
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012922108
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012938466
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Brokers and order flow leakage : evidence from fire sales
Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; … - 2017
Using trade-level data, we study whether brokers play a role in spreading order flow information. We focus on large portfolio liquidations, which result in temporary drops in stock prices, and identify the brokers that intermediate these trades. We show that these brokers' best clients tend to...
Persistent link: https://www.econbiz.de/10011875532
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Trading Costs and Priced Illiquidity in High Frequency Trading Markets
Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J. - 2021
, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …
Persistent link: https://www.econbiz.de/10013241217
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Liquidity skewness in the London Stock Exchange
Hsieh, Tsung-Han; Li, Youwei; McKillop, Donal G.; Wu, … - In: International review of financial analysis 56 (2018), pp. 12-18
Persistent link: https://www.econbiz.de/10012006199
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Creditor Rights, Claims Enforcement, and Bond Returns in Mergers and Acquisitions
Renneboog, Luc - 2016
By means of an international sample of cross-border mergers and acquisitions (M&As) involving firms with outstanding Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is sensitive to cross-country differences in creditor...
Persistent link: https://www.econbiz.de/10012996646
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Application of dividend discount model valuation at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 147-154
Dividend discount model (DDM) is the simplest model for valuing equities in finance. Many analysts belived that DDM is outmoded, but much of the intuition that drives Discounted Cash Flow (DCF) valuation is embedded in the DDM model. There are also specific companies stocks where the DDM model...
Persistent link: https://www.econbiz.de/10011298772
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Empirical Social Asset Pricing
Hwang, Byoung-Hyoun - 2022
I review the empirical literature on word of mouth (WOM) among investors. I begin with an outline of the empirical challenges that WOM research faces and possible strategies to overcome those challenges. I then discuss recent studies on WOM among retail and institutional investors. The research...
Persistent link: https://www.econbiz.de/10013406015
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422