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Inside the Director Network : When Directors Trade Inside, Interlock, and Unconnected Stocks
Berkman, Henk - 2017
Corporate directors earn abnormal returns when they buy their own company's stock as insiders. Directors also outperform when they buy stocks with an interlock connection, where a co-board member is an insider. Directors do not consistently earn abnormal returns when they sell these connected...
Persistent link: https://www.econbiz.de/10012973327
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Pessimistic Fund Managers
Chu, Yongqiang - 2019
This paper examines the predictive power of investment managers' sentiment revealed in their letters to shareholders … for their future performance, using closed-end funds (CEFs) as a laboratory. We find that pessimistic tone in managers … managers exert more effort when they feel at a loss relative to their reference points …
Persistent link: https://www.econbiz.de/10012902362
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Incentive Realignment : Mutual Funds’ Influence on Executive Compensation Contracts
Agarwal, Vikas; Cao, Sean; Huang, Shawn X.; Kim, Min - 2021
corroborate these findings to reveal more pronounced effects when fund managers have stronger career incentives and are less …
Persistent link: https://www.econbiz.de/10013236397
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High frequency trading and end-of-day price dislocation
Aitken, Michael J.; Cumming, Douglas J.; Zhang, Feng - 2013
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10010201320
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Estimation of trading costs : trade indicator models revisited
Theissen, Erik; Zehnder, Lars Simon - 2014
It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem which is caused by a negative correlation between the arrival of public...
Persistent link: https://www.econbiz.de/10010399356
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What's Gone Wrong with Option Liquidity : Evidence from the Knight Capital's Trading Glitch
Kapadia, Nikunj - 2020
Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an incident in which a large broker dealer erroneously...
Persistent link: https://www.econbiz.de/10012844386
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Institutional Trading and Abel Noser Data
Hu, Gang - 2018
We survey the growing academic literature using Abel Noser data, including 55 publications thus far. We analyze publication patterns to explore how the availability of a specialized microstructure dataset propagates across different areas within finance and into other disciplines such as...
Persistent link: https://www.econbiz.de/10012931567
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Fast Aggressive Trading
Latza, Torben - 2014
We subdivide trades on the London Stock Exchange according to their reaction times. We classify an aggressive order as 'fast' if it executes against a standing limit order that is less than 50 milliseconds old. We show that fast trades are associated with smaller execution costs than slow...
Persistent link: https://www.econbiz.de/10013039784
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Exchange Traded Notes : An Introduction
Diavatopoulos, Dean - 2019
The first Exchange Traded Note (ETN) was introduced in 2006. Since then, at least 64 other ETNs have been issued, with more announced. This financial security, which is growing in number and popularity, is often confused with Exchange Traded Funds (ETFs) and seems to be largely misunderstood by...
Persistent link: https://www.econbiz.de/10012906242
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Trading Volatility : At What Cost?
Whaley, Robert E. - 2014
Volatility trading is in vogue. Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market Volatility Index (VIX) have enamored no small number of traders judging by the billions of dollars invested in these new products. Why exactly is unclear. The most popular VIX ETPs...
Persistent link: https://www.econbiz.de/10013063985