In a stock market dominated by passive investors, an interesting question arises as to how the equilibrium level of market efficiency will be maintained. This short article argues that the critical agents in this regard must be the companies that issue the shares, not active investment managers

This paper studies the conceptual framework of the calculation of the theoretical price of the future based on the cost of carry model and assesses the results of applying this model to the closing prices of the Spanish Market for 2007-2015. Whilst most of the research carried out into market...

We consider an extension of the Roll model where the trade direction, i.e. whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted half-spread. Employing tick-by-tick maximum likelihood estimation on S&P 500 constituents, we find that the efficient price is quite...

We provide evidence of informed trading in the European carbon market. We adapt Easley et al.'s (1996) PIN methodology to the particularities of this market by isolating the trading activity on the two carbon offsets: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We...

We show the competing effects of a housing bubble on the real economy by developing a two-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their houses to obtain financing, so a housing bubble helps firms obtain credit to finance their investment and...

Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this setting, the options used as hedging instruments also have to...

Building on Grossman and Stiglitz (1980) and Sunder (1992) we present results from experimental asset markets where subjects endogenously choose between five information levels. Depending on the specific treatment either the costs of information or the maximum number of subjects with each...

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in the LME is rejected based on the false...