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Sunshine trading : flashes of trading intent at the NASDAQ

Skjieltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah - 2012

Persistent link: https://www.econbiz.de/10009724313

High-frequency technical trading : the importance of speed

Scholtus, Martin L.; Dijk, Dick van - 2012

Persistent link: https://www.econbiz.de/10009722698

What Do We Know About Speculation in the CDS Market?

Norden, Lars - 2013

We measure speculation in the CDS market and investigate its determinants. The CDS volume on a firm that exceeds its … outstanding debt (= naked CDS) indicates speculation since hedging can be ruled out. Using weekly CDS trading volume data for … actively traded U.S. firms during 2008-2012, we provide evidence for substantial speculation in the CDS market. The median …

Persistent link: https://www.econbiz.de/10013090144

Flashes of Trading Intent at the NASDAQ

Skjeltorp, Johannes Atle - 2016

We use the introduction and subsequent removal of the flash order functionality from NASDAQ as a natural experiment to investigate the impact of voluntary disclosure of trading intent on market quality. We find that flash orders significantly improve liquidity in NASDAQ. Furthermore, overall...

Persistent link: https://www.econbiz.de/10013008669

Best Ideas of Hedge Funds

Maslennikov, Sergey - 2015

We provide new compelling evidence that hedge funds possess investment skill. Using the longest-in-literature unbiased sample of hedge funds, we show that large holdings of past winners earn 7% annual benchmark-adjusted return. This remarkable performance is consistent with the notion that large...

Persistent link: https://www.econbiz.de/10013031527

Computerized and High-Frequency Trading

Goldstein, Michael A. - 2014

The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...

Persistent link: https://www.econbiz.de/10013060754

Speculative Financial Innovation

Cao, Huining Henry; Ou-Yang, Hui; Ye, Dongyan; Zhang, … - 2023

We analyze how speculative financial innovation affects stock prices, risk premiums, market liquidity, and investor welfare in an economy with heterogeneous beliefs. When investors disagree about the covariance of the newly introduced stocks with the original stocks, we show that financial...

Persistent link: https://www.econbiz.de/10014254321

Covid, work-from-home, and securities misconduct

Cumming, Douglas J.; Firth, Christopher; Gathergood, John; … - 2021 - This Draft: October 18, 2021

We consider whether traders are more likely to commit securities violations when trading at home, a new form of working induced by the Covid pandemic. We examine data pre- and post-Covid, during which some traders were unexpectedly forced to work at home. The data indicate the presence of both a...

Persistent link: https://www.econbiz.de/10012693916

IPOs' Signalling Effects for Speculative Stock Detection : Evidence from the Stock Exchange of Thailand

Komenkul, Kulabutr - 2017

Using a unique data set from the Thai stock market about the so-called, ‘Turnover List (TOL)' of speculative stocks spanning the period 2004–2012, we investigate and provide new evidence on the relationship between IPOs' pricing effects and subsequent classification as speculative...

Persistent link: https://www.econbiz.de/10012958658

Blockchain Speculation or Value Creation? Evidence from Corporate Investments

Autore, Don M. - 2020

Many corporate executives believe blockchain technology is broadly scalable and will achieve mainstream adoption, yet there is little evidence of significant shareholder value creation associated with corporate adoption of blockchain technology. We collect a broad sample of firms that invest in...

Persistent link: https://www.econbiz.de/10012849271

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