共查询到20条相似文献,搜索用时 31 毫秒
1.
Yalin Gündüz Torsten Lüdecke Marliese Uhrig-Homburg 《Journal of Financial Services Research》2007,32(3):141-159
Credit default swaps (CDSs) are among the most successful financial innovations of recent years, which is reflected in the
rapidly expanding market. CDS trading occurs in the over-the-counter market, which relies heavily on broker intermediation
to arrange trades. We provide empirical evidence that liquidity in the voice brokered market varies with the particulars of
the CDS contracts and that the differences in market structure is reflected in the costs of liquidity. Moreover, the brokered
and direct interdealer trading markets seem to be well integrated; thus the higher liquidity costs in the brokered market
may reflect the value of intermediation. Hybrid market structures, which combine voice brokerage with an electronic platform,
are discussed as a viable alternative to fully automated trading systems.
相似文献
Yalin GündüzEmail: |
2.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
3.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
4.
Large orders, particularly from institutions, are quite common these days and hence there is interest to know if institutional
trading has any bearing on the price effect associated with large trades. Recent empirical studies contradict earlier evidence
of negative price effect on selling large blocks and find no price effect associated with large trades. Existing theoretical
framework suggests a monotonic and increasing adverse price effect for large trades, where the motivation for a large trade
is private information. We model a trading system where pure information, information-liquidity, and pure liquidity traders
trade small and large sizes. The pure information traders strategically choose an order size. Institutions trade only large
sizes because of their low execution costs for large trades; they are information-liquidity traders whose ability to use an
information signal to determine their trades is subject to a binding liquidity constraint. We show that in such a market a
separating equilibrium where trade size is informative does not exist and hence there is no price effect for large trades.
Trade size may be revealing only if there is a buy sell asymmetry (large buy size is not equal to large sell size) or the
corresponding price effect is asymmetric (price effect due to a large buy is not equal to that of a large sell). Further for
a pooling equilibrium to exist, where trade size is not informative, the width of the market denoted by the ratio of order
size (large size/small size) needs to be small, while the shallowness (inverse depth) of the market denoted by the ratio between
pure information and institutional trades and the information signal needs to be stronger (higher). Our results on bid and
ask prices and spread confirm recent empirical evidence on price effect of large and institutional trades found in the literature.
相似文献
Malay K. DeyEmail: |
5.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
6.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
7.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
8.
Shinhua Liu 《Journal of Financial Services Research》2007,32(3):161-176
This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding
the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in
estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks
dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We
also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis
that a reduction in transaction costs improves the efficiency of the price discovery process.
相似文献
Shinhua LiuEmail: |
9.
Hans Degryse 《Financial Markets and Portfolio Management》2009,23(1):93-103
The Markets in Financial Instruments Directive (MiFID) could be the foundation of new trading platforms in Europe. This contribution
employs insights from the theoretical and empirical literature to highlight some of the possible implications of MiFID. In
particular, we argue that more competition will lead to more liquid markets, reflected in lower bid–ask spreads and greater
depth. It will also lead to innovation in incumbent markets and stimulate the design of new trading platforms. MiFID has already
introduced more competition, as evidenced by the startup of Instinet Chi-X, the announcement of new initiatives, including
Project Turquoise and BATS, and the reactions of incumbent exchanges.
相似文献
Hans DegryseEmail: |
10.
Geoffrey K. Turnbull Jonathan Dombrow 《The Journal of Real Estate Finance and Economics》2007,35(1):57-76
This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage
firm-specific effects as well as supply and demand conditions that vary by neighborhood. Firm size effects disappear once
firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher
selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains
from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers
while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent
sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or
lengthen the time on the market.
相似文献
Geoffrey K. TurnbullEmail: |
11.
Seow Eng Ong Poh Har Neo Yong Tu 《The Journal of Real Estate Finance and Economics》2008,36(3):265-287
Where borrowers are personally liable for shortfalls when they default on their mortgages, lenders have to exercise a duty
of good faith in securing a reasonable value for the foreclosed property. The lender is entitled to recover the outstanding
loan as quickly as possible, and is not bound to sell the foreclosed property at the highest price. Such an institutional
setting allows us to study lender and borrower behavior, specifically the influence of price expectations, volatility and
equity losses on foreclosure transactions using non-foreclosure transactions as a comparison. Our results show that differences
in seller response to market expectations and equity losses exist across foreclosure and non-foreclosure transactions. Seller
behavior matters. While price expectations, volatility and equity losses are influential factors for individual households,
past price movements is the most important. This study also further seeks to distinguish loss aversion from disposition effect.
By controlling for properties that suffered losses in equity but did not sell, we are able to examine the disposition effect
in house owners. The result shows that there is disposition effect for non-foreclosure properties, where individual homeowners
are reluctant to sell if the properties suffer losses.
相似文献
Seow Eng OngEmail: |
12.
Shinhua Liu 《Journal of Financial Services Research》2008,34(1):77-91
Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this
hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986.
Employing two alternative statistical methods applied to both daily and weekly data, we find that, following the listing of
the index futures, returns become significantly more random and less predictable for the underlying stocks, even after controlling
for concurrent marketwide shifts. These findings suggest improved price informativeness for the underlying stocks, which is
further corroborated by their higher trading volume following the event.
相似文献
Shinhua LiuEmail: |
13.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
14.
Ronald C. Rutherford Thomas M. Springer Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2007,35(1):23-38
Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive
a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium
market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency
problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence
for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same
geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.
相似文献
Abdullah YavasEmail: |
15.
The purpose of this study is to investigate the relation between investor protection, adverse selection, and the probability
of informed trading. Previous research has established a direct relation between investor protection and firm liquidity, measured
by bid-ask spreads and depths. In this study, we test the hypothesis that adverse selection is the mechanism through which
poor investor protection leads to higher costs of liquidity. The Hong Kong equity market provides a unique opportunity to
compare adverse selection differences across distinct investor protection environments, holding constant the trading platform
and currency. Using various bid-ask spread decomposition models and probability of informed trading estimates, we confirm
the hypothesized relation between investor protection quality and adverse selection costs. These findings contribute to the
literature by establishing one of the links in the chain connecting investor protection to firm valuation.
相似文献
Dennis Y. Chung (Corresponding author)Email: |
16.
Valuation of global IPOs: a stochastic frontier approach 总被引:1,自引:0,他引:1
Yue-Cheong Chan Congsheng Wu Chuck C. Y. Kwok 《Review of Quantitative Finance and Accounting》2007,29(3):267-284
This paper studies the impact of global offerings on US IPO firms’ offer price using the stochastic frontier approach. We
find that the offer price valuation efficiency for global IPOs exceeds that of IPOs with purely domestic offers by 3.1%. In
particular, the global offering approach is most appropriate to those IPO firms, which offer larger proportion of new shares
to international investors, underwritten by less prestigious investment banks and with larger firm-specific return variance.
Our findings are consistent with the demand inelasticity, certification effect and investor recognition arguments that account
for the benefits of global offering.
相似文献
Chuck C. Y. KwokEmail: |
17.
John E. Core Wayne R. Guay Scott A. Richardson Rodrigo S. Verdi 《Review of Accounting Studies》2006,11(1):49-70
We examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies
suggested by the operating accruals and the post-earnings announcement drift (SUE) anomalies. We discuss advantages and disadvantages
of the use of managerial trading activity to infer managers’ private valuation about their own securities. Our results provide
corroborative evidence for the accruals anomaly, i.e., managers’ repurchase and insider trading behavior varies consistently
with the information underlying the operating accruals trading strategy. On the other hand, we do not find corroborative evidence
for the SUE anomaly.
相似文献
Rodrigo S. VerdiEmail: |
18.
Pantisa Pavabutr Sukanya Prangwattananon 《Review of Quantitative Finance and Accounting》2009,32(4):351-371
This paper explores the impact of an exogenous tick size reduction on bid-ask spreads, depths, and trading volume on the Stock
Exchange of Thailand (SET). On November 5, 2001, the SET implemented a tick size reduction on stocks priced below THB 25.
Even though trading on SET is largely dominated by retail investors, the tick reduction produces similar empirical results
found in markets where institutional investors are more dominant. Tick reduction on the SET is associated with declines in
spreads, and quoted and accumulated market depths. The study finds no significant change in trading volume due to the reduction.
相似文献
Sukanya PrangwattananonEmail: |
19.
Henryk Gurgul Paweł Majdosz Roland Mestel 《Financial Markets and Portfolio Management》2007,21(3):353-379
This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of
DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December
2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume
in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition,
we establish that lagged return volatility induces trading volume movements. Finally, we examine dependencies in the tails
and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading
volume.
相似文献
Roland Mestel (Corresponding author)Email: |
20.
This paper compares four scenarios of a model in which, for the possible presence of tippees, firm insiders may not be the
only persons having inside information. The four scenarios are that of free insider trading, that with a ban on insider trading,
that of observable insider trading, and that with full disclosure of information. Each of these scenarios is shown to be strictly
more efficient than the one before so long as there is a positive probability that a tippee exists. The paper sheds some light
on why and how insider trading should be regulated, and also on the role of the disclosure system in the overall scheme of
securities regulation.
相似文献
Zemin Lu (Corresponding author)Email: |