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The adverse selection component for the bid-ask spread: A revision of its estimation models
Farinós, José E.; García, C. José; Ibáñez, Ana M.ª - In: Cuadernos de Gestión 5 (2005) 1, pp. 13-35
One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial … methodologies like GMM or VAR. This paper analyses this set of models that allows the estimation of the bid–ask spread components …
Persistent link: https://www.econbiz.de/10008505674
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Do Social Networks Facilitate Informed Option Trading? Evidence from Alumni Reunion Networks
Cheong, Harvey; Kim, Joon Ho; Münkel, Florian; Spilker … - 2021
Material private information transmits through social networks. Using manually collected information on networks of alumni reunion cohorts, we show that hedge fund managers connected to directors of firms engaged in merger deals increase call option holdings on target firms before deal...
Persistent link: https://www.econbiz.de/10013243492
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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10010281344
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Introducing a spread into the Kyle model
Salomonsson, Marcus - Economics Institute for Research (SIR), … - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10005649280
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Market versus limit orders in an imperfectly competitive security
Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996
This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if...
Persistent link: https://www.econbiz.de/10005772345
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A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes
Takayama, Shino; Ozsoylev, Han - EconWPA - 2005
smaller trade sizes that do not have a positive bid-ask spread result in zero price change, while for larger trade sizes the …
Persistent link: https://www.econbiz.de/10005413239
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Continuous auctions and insider trading: uniqueness and risk aversion
Cho, Kyung-Ha - In: Finance and Stochastics 7 (2003) 1, pp. 47-71
The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...
Persistent link: https://www.econbiz.de/10005613458
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Asymmetric Information and International Corporate Social Responsibility
Lopatta, Kerstin; Buchholz, Frerich; Kaspereit, Thomas - ZenTra - Center for Transnational Studies - 2014
We investigate the relation between asymmetric information of insider trades and international corporate social responsibility for U.S. firms listed in the MSCI world index during the period 2004 to 2010. In comparison to current studies, which focus on measuring the interrelation between the...
Persistent link: https://www.econbiz.de/10010735754
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Are Corporate Spin-Offs Prone to Insider Trading?
Augustin, Patrick - 2020
Despite abundant empirical evidence of informed trading ahead of major corporate events, no such evidence has been reported in the case of corporate spinoff (SP) announcements. This is surprising, as SP announcements are unexpected, and are also associated with a positive price jump in the...
Persistent link: https://www.econbiz.de/10012856345
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Institutional Ownership and Insider Trading : Quasi-Experimental Evidence
Hillegeist, Stephen A. - 2018
We examine the causal effect of institutional ownership on insider trading using a regression discontinuity design to analyze exogenous differences in institutional ownership around Russell Index reconstitutions. Our findings indicate institutional investors influence insider trading behavior....
Persistent link: https://www.econbiz.de/10012911656