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Persistent link: https://www.econbiz.de/10006089950
When two random variables are both additive or multiplicative, the effect of the way one quot;slicesquot; the available period to subperiods (time intervals) is well documented in the literature. In this paper, we investigate the time interval effect when one of the variables is additive and one...
Persistent link: https://www.econbiz.de/10012776498
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Tel Aviv Stock Exchange is the only market open on Sundays and trades ETNs on local and US indices. We use this feature to estimate the causal relation between the inventory cost and the bid-ask spread. We compare spreads on the most liquid indices on Sundays and other days using...
Persistent link: https://www.econbiz.de/10013155651
We identify and characterize order splitting strategies in an automated limit order market. We model the market conditions and order characteristics, which lead to the use of order splitting strategies. We find a positive correlation between price aggressiveness and the propensity to split an...
Persistent link: https://www.econbiz.de/10013160057
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Empirical evidence suggests that the distribution of earnings reports is discontinuous. This is puzzling since the distribution of true earnings is likely to be continuous. We present a model that rationalizes this phenomenon. In our model, managers report their earnings to rational investors,...
Persistent link: https://www.econbiz.de/10005459369
We examine a dynamic model of voluntary disclosure of multiple pieces of private information. In our model, a manager of a firm who may learn multiple signals over time interacts with a competitive capital market and maximizes payoffs that increase in both period prices. We show (perhaps...
Persistent link: https://www.econbiz.de/10010884826
We study a dynamic strategic model of voluntary disclosure of multiple pieces of information. Such situations are prevalent in real life, e.g., in corporate disclosure environments that are characterized by information asymmetry between the firm and the capital market with respect to whether,...
Persistent link: https://www.econbiz.de/10010838907