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Using Spread and Net Trading Range to Measure Risk in Suitability Cases
Booth, Richard A. - 2006
Suitability is one of the most common issues that arises in securities arbitrations. Yet it is also one of the most difficult issues to resolve. Up to now there has been no easy and reliable way to compare the risk of one stock or portfolio with another stock or portfolio measured as of the time...
Persistent link: https://www.econbiz.de/10009432042
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Asymptotic Properties of Equilibrium in Discriminatory and Uniform Price IPV Multi-Unit Auctions
Katzman, Brett E. - 2009
discriminatory auctions and uniform price auctions where the price paid is determined by the lowest winning bid, thus indicating that …, when the uniform price paid is tied to the highest losing bid, price taking behavior does not ensue and ex post inefficient …
Persistent link: https://www.econbiz.de/10009458995
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Model Uncertainty and Liquidity
Routledge, Bryan R; Zin, Stanley E. - 2009
derivative security. The market-maker chooses bid and ask prices for the derivative, then, conditional on trade in this market …, chooses an optimal portfolio and consumption. We explore how uncertainty can increase the bid-ask spread and, hence, reduces …
Persistent link: https://www.econbiz.de/10009441008
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Liquidity issues surrounding neglected firms
Bertin, William J.; Michayluk, David; Prather, Laurie - 2008
The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the stock, that have partially explained the performance of neglected firms....
Persistent link: https://www.econbiz.de/10009441581
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Market Depth in Lean Hog and Live Cattle Futures Markets
Frank, Julieta; Garcia, Philip - 2008
, the bid-ask spread only captures the tightness of the market price. As the volume increases measures of market depth which …
Persistent link: https://www.econbiz.de/10009443349
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Strategic Order Flow in the On-The-Run and Off-The-Run Bond Markets
Pasquariello, Paolo - 2006
) off/on-the-run bid-ask spread differentials are economically and statistically significant, even after controlling for …
Persistent link: https://www.econbiz.de/10009476933
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Government Intervention and Strategic Trading in the U.S. Treasury Market
Pasquariello, Paolo; Vega, Clara - 2011
proprietary dataset of all POMOs conducted by the FRBNY between 2001 and 2007. Our evidence suggests that i) bid-ask spreads of on …
Persistent link: https://www.econbiz.de/10009477265
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Three Essays on the Interrelationships Among Financial Restatements, Corporate Governance, Market Microstructure and the Firm's Rate of Return
Shankar, Siddharth - 2008
information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The …
Persistent link: https://www.econbiz.de/10009460483
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Where is the value in high frequency trading?
Cartea, Álvaro; Penalva Zuasti, José S. - 2011
Analizamos el impacto de las operaciones que se realizan en mercados financieros a gran velocidad utilizando un modelo con tres tipos de operadores: consumidores de liquidez, creadores de mercado y operadores de alta frecuencia. Nuestros cuatro resultados principales son: i) el impacto de las...
Persistent link: https://www.econbiz.de/10012530335
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Evolutionary stability of first price auctions
Louge, Fernando; Riedel, Frank - 2010
This paper studies the evolutionary stability of the unique Nash equilibrium of a first price sealed bid auction. It is …
Persistent link: https://www.econbiz.de/10009452572