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The impact of competition and information on intraday trading
Malinova, Katya; Park, Andreas - In: Journal of banking & finance 44 (2014), pp. 55-71
Persistent link: https://www.econbiz.de/10010409963
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TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004
Rubio, Fernando - EconWPA - 2004
market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither …
Persistent link: https://www.econbiz.de/10005134787
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SIMPLE TRADING RULES: TRADING ON IBEX AT MEFF
Rubio, Fernando - EconWPA - 2004
Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF …. Results show that if the investor follows the analyzed trading strategies, he or she will get a better return than the index … these trading strategies. In a formal test, signals from these rules are included in an OLS model trying to explain daily …
Persistent link: https://www.econbiz.de/10005134879
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What does PIN identify? Evidence from the T-bill market
Akay, Ozgur; Cyree, Ken B.; Griffiths, Mark D.; … - In: Journal of Financial Markets 15 (2012) 1, pp. 29-46
The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However …, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the …, despite it being unlikely that the probability of informed trading is higher in T-bills than equities. We conclude that PIN …
Persistent link: https://www.econbiz.de/10010869356
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Intraday Trading Patterns: The Role of Timing
Malinova, Katya; Park, Andreas - University of Toronto, Department of Economics - 2009
-shaped) volume and probability of informed trading (PIN). Competition increases market participation and causes more pronounced …In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders …
Persistent link: https://www.econbiz.de/10005029660
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Optimal research in financial markets with heterogeneous private information: a rational expectations model
Tinn, Katrin - 2005
This paper investigates prices and endogenous research decision for financial assets. In rational expectations models with public information, higher order beliefs make investors to overweight the public information relative to underlying fundamentals. The extent of this mispricing is higher if...
Persistent link: https://www.econbiz.de/10011604539
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Higher Order Expectations in Asset Pricing
BACCHETTA, Philippe; WINCOOP, Eric VAN - Swiss Finance Institute - 2004
In this paper, we examine formally Keynes' idea that higher order beliefs can drive a wedge between an asset price and its fundamental value based on expected future payoffs. In a dynamic noisy rational expectations model, higher order expectations add an additional term, which we call the...
Persistent link: https://www.econbiz.de/10005827315
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Price Formation of Pledgeable Securities
Pinna, Andrea - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2015
I derive the price function of securities that can be pledged as collateral, in an economy where rational investors are privately informed. Although the payoffs of borrowers and lenders have truncated distributions, the linear equilibrium is unique and has an analytic solution. Such result...
Persistent link: https://www.econbiz.de/10011191545
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Bank loan information and information asymmetry in the stock market : evidence from China
Ye, Yanyi; Wang, Yun; Yang, Xiaoguang - In: Financial innovation : FIN 8 (2022), pp. 1-28
In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and bank loans of all publicly listed firms on the...
Persistent link: https://www.econbiz.de/10013272640
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The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading
Sankaraguruswamy, Srinivasan; Shen, Jianfeng; Yamada, … - In: Journal of Banking & Finance 37 (2013) 11, pp. 4134-4143
relation holds for various measures of information asymmetry such as the probability of information-based trading (PIN … release and information asymmetry. By decomposing the PIN into intensities of uninformed and informed trades, similarly to … Brown and Hillegeist (2007), we find that intensity of uninformed trading increases much more than that of informed trading …
Persistent link: https://www.econbiz.de/10010875296