Similar Search Results

Tick Size, Price Grids and Market Performance : Stable Matches as a Model of Market Dynamics and Equilibrium

Plott, Charles R. - 2018

invites more speculation, which in turn increases liquidity. However, increased speculation leads to inefficient trades that …

Persistent link: https://www.econbiz.de/10012927700

Faith-Based Financial Regulation : A Primer on Oversight of Credit Rating Organizations

Fitzpatrick, Thomas James; Sagers, Chris - 2011

During the past forty years, the simultaneous, symbiotic growth of financial innovation, disintermediation and deregulation has created an environment with extremely complex, opaque investment instruments. That system has now collapsed. At the very center of the crisis are a small group of...

Persistent link: https://www.econbiz.de/10014209183

Rise of Factor Investing : Asset Prices, Informational Efficiency, and Security Design

Cong, Lin William - 2019

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities that facilitate trading common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously-chosen proportions, composite...

Persistent link: https://www.econbiz.de/10012903197

Underestimating randomness: Outcome bias in betting exchange markets

Merz, Oliver; Flepp, Raphael; Franck, Egon - 2021

This paper examines whether the outcome bias harms price efficiency in betting exchange markets. In soccer, the match outcome is an unreliable performance measure, as it underestimates the high level of randomness involved in the sport. If bettors overestimate the importance of past match...

Persistent link: https://www.econbiz.de/10012820013

Secondary market trading infrastructure of government securities

Balogh, Csaba; Kóczán, Gergely - 2009

The subject of our study is the trading infrastructure of government securities markets, which has undergone fundamental changes driven by the appearance of non-exchange electronic platforms and the rapid rise of their share in the trading volume of developed markets. The summary of the relevant...

Persistent link: https://www.econbiz.de/10009354802

What Do We Know About Speculation in the CDS Market?

Norden, Lars - 2013

We measure speculation in the CDS market and investigate its determinants. The CDS volume on a firm that exceeds its … outstanding debt (= naked CDS) indicates speculation since hedging can be ruled out. Using weekly CDS trading volume data for … actively traded U.S. firms during 2008-2012, we provide evidence for substantial speculation in the CDS market. The median …

Persistent link: https://www.econbiz.de/10013090144

Speculation in the Foreign Exchange : Noise or Information?

Hayward, Rob - 2015

An event study is used to assess the views of Keynes and Friedman on speculation. Speculative extremes are ranked by … little about the future in either case, suggesting that speculation is more than just random noise and supporting the view …

Persistent link: https://www.econbiz.de/10013019272

Regulatory-Compliant Derivatives Pricing Is Not Risk-Neutral

Kenyon, Chris - 2014

Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costly in part because regulations increase the minimum funding tenor. Idiosyncratic costs mean no single measure makes...

Persistent link: https://www.econbiz.de/10013062335

Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly : Insights from REITs

Price, S. McKay - 2012

This is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices soon after being publicly announced. We hypothesize...

Persistent link: https://www.econbiz.de/10013115972

Do Market Participants Misprice Lottery-Type Assets? Evidence from the European Soccer Betting Market

Franke, Maximilian - 2019

This paper addresses findings from previous asset pricing research that reveal lottery-like stocks are mispriced. This conclusion, however, relies on asset pricing models which might suffer from the joint hypothesis problem: That is, abnormal returns can reflect market inefficiencies, a bad...

Persistent link: https://www.econbiz.de/10012903265