Narrow search
Showing 1 - 10 of 46,808
Cover Image
Dominant Investors and Strategic Transparency
Perotti, Enrico C.; von Thadden, Ernst-Ludwig - 1999
This paper studies product market competition under a strategic transparency decision. Dominant investors can influence … information collection in the financial market, and thereby corporate transparency, by affecting market liquidity or the cost of … information collection. More transparency on a firm's competitive position has both strategic advantages and disadvantages: in …
Persistent link: https://www.econbiz.de/10011608488
Cover Image
Transparency and collateral : central versus bilateral clearing
Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2018
Bilateral financial contracts typically require an assessment of counterparty risk. Central clearing of these financial contracts allows market participants to mutualize their counterparty risk, but this insurance may weaken incentives to acquire and to reveal information about such risk. When...
Persistent link: https://www.econbiz.de/10011927083
Cover Image
High-frequency trading and institutional trading costs
Chen, Marie; Garriott, Corey - 2018
Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions. After a rapid...
Persistent link: https://www.econbiz.de/10012014463
Cover Image
Options decimalization
Chin, Faith; Garriott, Corey - 2016
We document the outcome of an options decimalization pilot on Canada's derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. In contrast with equity studies,...
Persistent link: https://www.econbiz.de/10011756440
Cover Image
Banking regulation and market making
Cimon, David A.; Garriott, Corey - 2017
We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule. Regulation causes market makers to reduce their intermediation by refusing principal positions. However,...
Persistent link: https://www.econbiz.de/10011756453
Cover Image
Retail order flow segmentation
Garriott, Corey; Walton, Adrian - 2016
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structural vector autoregression shows that the facility increased...
Persistent link: https://www.econbiz.de/10011456111
Cover Image
Options Decimalization
Chin, Faith - 2019
We document the outcome of an options decimalization pilot on Canada's derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. In contrast with equity studies,...
Persistent link: https://www.econbiz.de/10012902538
Cover Image
Banking Regulation and Market Making
Cimon, David - 2019
We model how securities dealers respond to regulations on leverage, position, and liquidity such as those imposed by the Basel III framework. The dealers respond by endogenously moving to make markets on an agency basis, matching buyers to sellers rather than taking client positions on the...
Persistent link: https://www.econbiz.de/10012902555
Cover Image
High-Frequency Trading Competition
Brogaard, Jonathan - 2019
Theory on high-frequency traders (HFT) predicts that market liquidity for a security decreases in the number of HFT trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFT firms over four years. Bid-ask spreads on Alpha...
Persistent link: https://www.econbiz.de/10012904906
Cover Image
High-Frequency Trading and Institutional Trading Costs
Chen, Marie - 2019
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a...
Persistent link: https://www.econbiz.de/10012900036