Purpose: This paper aims to investigate the quickness, and test the accuracy, of liquidity taking high-frequency traders (HFT). This gives us important insights into a class of market participant who has come to be very influential in present markets. Design/methodology/approach: The authors...

Purpose: The purpose of this study is to clarify the nature of the predictive relationship between crude oil and the US stock market, with particular attention to whether this relationship is driven by time-varying risk premia. Design/methodology/approach: The authors formulate the predictive...

This analysis investigates how liquidity is affected by periods of high trade intensity. Using an orderbook constructed directly from CME FIX/FAST messages and time-stamped to the millisecond, we test whether the number of changes in the orderbook, the size of the bid-ask spread, and the number...

Abnormal returns have been found on days near the turn of the calendar months. Previous studies have linked the phenomenon to month-end paychecks, of which a sizable proportion goes into employees' retirement accounts and is then automatically invested in the market. Since many institutions...

We provide an equilibrium based asset pricing framework to investigate the patterns in health care finance in 30 OECD countries. Using purchasing power parity adjusted data we find that the sample of countries together as a whole does not exhibit a pattern of convergence. However, there is some...

Within this study we examine factors commonly employed as MBA applicant evaluation criteria to see if these criteria are important in determining an applicants potential for success. After a review of our initial findings a subsequent research question emerged: “is the GMAT a necessity in the...