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Trim tabs investing : using liquidity theory to beat the stock market

Biderman, Charles; Santschi, David - 2005

Persistent link: https://www.econbiz.de/10004826662

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Federal Reserve Bank of New York - 2005

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …-cap stocks are stronger when spreads in the large-cap sector are wider. Consistent with the notion that private informational … trading in large-cap stocks is transmitted to other stocks with a lag, order flows in the large-cap-stock decile predict both …

Persistent link: https://www.econbiz.de/10005420598

Pricing bid-ask spreads in common stocks, liquidity premium and the small firm effect

Shen, Pu - Federal Reserve Bank of Kansas City - 1993

Persistent link: https://www.econbiz.de/10005724298

Fifteen minutes of fame? The market impact of internet stock picks

Antunovich, Peter; Sarkar, Asani - Federal Reserve Bank of New York - 2003

about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched … microstructure factors, we find that stocks with lower initial liquidity have greater improvements in liquidity on the pick day …. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results …

Persistent link: https://www.econbiz.de/10005726621

Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options

Dueker, Michael; Thomas W. Miller, Jr. - Federal Reserve Bank of St. Louis - 1996

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor?s 500 Index from April 2, 1986 through June 20, 1986. We match near-the-money American option quotes with the most nearly contemporaneous, otherwise identical, European...

Persistent link: https://www.econbiz.de/10005360571

The Federal Reserve's contingency financing plan for the century date change

Drossos, Evangeline Sophia; Hilton, Spence - In: Current Issues in Economics and Finance 6 (2000) Dec

With the approach of the new millennium last year, many market participants resolved to limit their exposure to Y2K-related risks by cutting back normal trading activities. The Federal Reserve foresaw that the widespread adoption of such a strategy could lead to serious liquidity problems in key...

Persistent link: https://www.econbiz.de/10005387232

A comparison of market making structures

Sofianos, George - Federal Reserve Bank of New York - 1988

Persistent link: https://www.econbiz.de/10005387267

A general model of brokers' trading, with applications to order flow internalization, insider trading and off-exchange block sales

Chakravarty, Sugato; Sarkar, Asani - Federal Reserve Bank of New York - 1997

Multiple informed traders and noise traders pay fees to trade through multiple brokers. Brokers may trade with their customers in the same transaction (simultaneous dual trading) or trade after their customers in a separate transaction (consecutive dual trading). Brokers' expected profits from...

Persistent link: https://www.econbiz.de/10005387278

Noisy trade disclosure and liquidity

Venkataraman, Subu - Federal Reserve Bank of Chicago - 1995

Persistent link: https://www.econbiz.de/10005724782

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Federal Reserve Bank of New York - 2003

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10005726613

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