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Persistent link: https://www.econbiz.de/10010442426
We study a model to explore the (dis)connect between market efficiency and real efficiency when real decision makers learn information from the market to guide their actions. We emphasize two channels that determine whether the two efficiency concepts are aligned. The "externality channel" says...
Persistent link: https://www.econbiz.de/10013006836
We study how stock price informativeness changes with the presence of highfrequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence market prices are a less reliable predictor of future cash ows and...
Persistent link: https://www.econbiz.de/10012062192
We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence, market prices are a less reliable predictor of future cash flows...
Persistent link: https://www.econbiz.de/10011990090
We study information production and diffusion resulting from dynamic interactions between different types of informed investors in financial markets. Using a theoretical framework that exploits the setting of the Q&A section of earnings conference calls, we predict that information production...
Persistent link: https://www.econbiz.de/10011897963
I study voluntary disclosure of oligopoly firms when they learn information from asset prices. By disclosing …' disclosure decisions can exhibit strategic complementarity, leading to multiple equilibria. Due to the endogenous disclosure …
Persistent link: https://www.econbiz.de/10011897851
We investigate the effects of the monetary policy conduct on the domestic capital market for a sample of developed countries where the capital market plays a significant role in the economy. We break down the policy rate innovations in rules-based and discretionary components in order to...
Persistent link: https://www.econbiz.de/10012062271
I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...
Persistent link: https://www.econbiz.de/10012857042
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012868588
We revisit the relationship between firm competition and real efficiency in a novel setting with informational feedback from financial markets. Although intensified competition can decrease market concentration in production, it reduces the value of proprietary information (e.g., market...
Persistent link: https://www.econbiz.de/10015072886