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Persistent link: https://www.econbiz.de/10010969472
We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order...
Persistent link: https://www.econbiz.de/10010970119
We develop an equilibrium model for origination fees charged by mortgage bro- kers and show how the equilibrium fee distribution depends on borrowers' valua- tion for their loans and their information about fees. We use non-crossing quantile regressions and data from a large subprime lender to...
Persistent link: https://www.econbiz.de/10010945081
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Municipal bonds trade in opaque, decentralized broker-dealer markets in which price information is costly to gather. Whether dealers in such a market operate competitively is an empirical issue, but a difficult one to study because data in such markets is generally not centrally recorded. We...
Persistent link: https://www.econbiz.de/10005073615
We study the way in which information about corporate decisions is reflected in stock prices. In the corporate finance literature a typical assumption is that managers have superior information that is revealed to the market by their corporate decisions and personal equity trades. In contrast,...
Persistent link: https://www.econbiz.de/10005073616
We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that...
Persistent link: https://www.econbiz.de/10005025640
We analyze the costs and benefits of providing and using liquidity in a limit order market. Using a large and comprehensive data set which details the complete histories of orders and trades on the Vancouver Stock Exchange, we are able to model the order flow and measure market liquidity as it...
Persistent link: https://www.econbiz.de/10005027526