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benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours … do not perfectly overlap, we can test for order-splitting by studying trading in the overlap vis­a-vis the non …-overlap. We consider trading in NYSE- listed British and Dutch stocks an ideal experiment and tailor the model to this setting. We …
Persistent link: https://www.econbiz.de/10010782198
benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours … do not perfectly overlap, we can test for order-splitting by studying trading in the overlap visða-vis the non …-overlap. We consider trading in NYSE-listed British and Dutch stocks an ideal experiment and tailor the model to this setting. We …
Persistent link: https://www.econbiz.de/10005510245
In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders …. This behavior generates intraday patterns with decreasing spreads, decreasing probability of informed trading (PIN), and …
Persistent link: https://www.econbiz.de/10010785405
empirical illustration is given for mid-term forecasts simultaneously made by two broker-dealers for several countries. …
Persistent link: https://www.econbiz.de/10005771839
In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.
Persistent link: https://www.econbiz.de/10005744354
excess return forecasts. We find that perpetual learning usually delivers statistically and economically significant out …
Persistent link: https://www.econbiz.de/10010702775
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so …-called “soft dollars” which basically are amounts spent in “research” for identifying profitable trading opportunities. Soft …
Persistent link: https://www.econbiz.de/10005222553
Prior studies in the area of management forecasts contain a common characteristic, they make no distinction as to the …. In terms of bias and information content, findings suggest that forecasts tend to significantly differ during these … practical and important implications for users and disseminators of forecast information. …
Persistent link: https://www.econbiz.de/10011205437
The paper explores the possibility of making investment decisions in emerging markets by using the trend analysis … establishment of a trend, the cessation of the existing one, a change and an establishment of the new one. The capital market in …-term trend direction. Analysis of the long-term trend has not been considered for the period from 2009 to date because the market …
Persistent link: https://www.econbiz.de/10012217796
The paper explores the possibility of making investment decisions in emerging markets by using the trend analysis … establishment of a trend, the cessation of the existing one, a change and an establishment of the new one. The capital market in …-term trend direction. Analysis of the long-term trend has not been considered for the period from 2009 to date because the market …
Persistent link: https://www.econbiz.de/10010930546