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1.
In this research, we examine and present new evidence on the market activity following the initial public offering (IPO) of a real estate investment trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end funds for all IPOs between 1985 and 1988. Our results show that REITs, as a whole sample, experience significantly greater bid-ask spreads immediately following the IPO compared to common stocks and funds. However, this outcome is driven by the equity REIT sample, with the mortgage REIT sample having significantly smaller bid-ask spreads. This is in contrast to the evidence documented by Nelling, Mahoney, Hildebrand, and Goldstein (1995). We attribute our result to the underlying asset structure (such as equity, hybrid, and mortgage portfolios) of the various REITs. Overall, however, we find that bid-ask spreads for REITs are similar to those of common stock when both asset structure and the traditional determinants of the spread (share price, trade volume, and returns variance) are considered.  相似文献   

2.
This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.  相似文献   

3.
    
We propose a model for determining the optimal bid-ask spread strategy by a high-frequency trader (HFT) who has an informational advantage and receives information about the true value of a security. We employ an information cost function that includes volatility and the volume of the asset. Subsequently, we characterize the optimal bid-ask price strategies and obtain a stable bid-ask spread. We assume that orders submitted by low-frequency traders (LFTs) and news events arrive at the market with Poisson processes. Additionally, our model supports the trading of the two-sided quote in one period. We find that more LFTs and a higher exchange latency both hurt market liquidity. The HFT prefers to choose a two-sided quote to gain more profits while cautiously chooses a one-sided quote during times of high volatility. The model generates some testable implications with supporting empirical evidence from the NASDAQ-OMX Nordic Market.  相似文献   

4.
The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists even after controlling for the effects of price risks, competition, and trading activity. The pronounced differences in the term-to-maturity results are attributable to the market risk effect and differences in the market structure of options and futures markets.  相似文献   

5.
In a study of 1,131 stock splits spanning the period 1983–1989 we observe an increase in the number of trades as well as a reduction in the mean trade size following the split. Combined with earlier reported findings of an increase in the number of shareholders postsplit, we conclude that the number of liquidity traders increases after a split. We confirm the previously observed increase in the bid-ask spread following a split, and upon decomposition of the spread find an increase in its adverse selection component in the postsplit period. This is consistent with the finding by Brennan and Hughes (1991) of an increase in the number of analysts following a stock after a split. Further, observing a decrease in market depth following a split we determine that Kyle-type models incorporating diverse private information for informed traders most correctly describe the nature of security trading. Since this decrease in postsplit market depth is not related to the trading volume or the split factor, we reject price correction explanations for stock splits.  相似文献   

6.
    
Most studies of housing market liquidity have measured liquidity in terms of time on the market (TOM), and have sought to explain TOM in terms of property characteristics and measures of market conditions. This paper departs from past studies of housing market liquidity by examining the spread between the listing and contract prices.We develop theory to explain the price spreads in the residential housing market. The model includes the list price of the home, the cost of the search, the standard deviation of offer prices, and TOM. Empirical tests using 3,597 sales for 25 months show a robust relationship of housing market spreads and these variables. Listing price and cost of search have the predicted positive coefficients, and the standard deviation of price offers is found to be negatively related to the price spread.  相似文献   

7.
  总被引:1,自引:0,他引:1  
This study examines the intertemporal and cross-sectional association between the bid-ask spread and insider trading. Empirical results from the cross-sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading. The time-series regression analysis, however, finds no evidence of spread changes on insider trading days. These results suggest that although market makers may not be able to detect insider trading when it occurs, they protect themselves by maintaining larger spreads for stocks with a greater tendency of insider trading. The results also reveal that market makers establish larger spreads when there are unusually large transactions. In addition, this study finds that spreads are positively associated with risk and negatively with trading volume, the number of exchange listings, share price, and firm size.  相似文献   

8.
    
Previous studies of bid-ask spread estimators based on serial covariance in returns document high proportions of positive serial covariances and therefore negative spread estimates. These findings may be due to the effects of time-variation in expected returns. Although purging the effects of time-varying expected returns yields more reasonable results, the bid-ask spread estimates from daily and weekly returns are still materially different. We present a method that avoids the need for removing the effects of time-varying expected returns by using a spread estimator developed directly for a correlated value innovation process. The new spread estimator not only yields more reasonable estimates of the bid-ask spread than the Roll (1984) model, but the spread estimates from daily and weekly returns are almost equal.  相似文献   

9.
    
We exploit an extensive high-frequency data set of all individual equity options trading at New York Stock Exchange London International Financial Futures and Options Exchange (Amsterdam, London and Paris) in order to study the determination of liquidity during the trading day. In particular, we focus on two main aspects of option liquidity: (i) the intraday behaviour of equity option liquidity and its determinants and (ii) the influence of macroeconomic events and commonality on intraday equity option liquidity. Inventory management models cannot explain the intraday variation in option spreads and depths. Instead, we show that the option liquidity measures are strongly correlated with option volatility. Increases in volatility are associated with decreases in liquidity, a finding that is in line with information asymmetry models and the derivatives hedging theory. However, the relationship between spreads and volume varies across the three markets. Option liquidity reacts strongly to macroeconomic news announcements, especially US events. The average systematic liquidity component is 12% for Amsterdam, 14% for London and 16% for Paris.  相似文献   

10.
    
This paper examines the relation between bid-ask spreads, measured both as effective and specialist-posted spreads, and institutional ownership. For the overall sample, spreads are negatively related to institutional ownership share. The paper suggests that this effect may be due to some institutions being restricted in their trading, which reduces bid-ask spreads. The paper shows that for certain types of institutions, namely banks and investment managers, the above relation reverses. The results are robust to the inclusion of other firm-specific variables such as size, leverage, and financial distress measures.  相似文献   

11.
Because of a regulatory policy change in February 2001, the segmentation of the Chinese stock market significantly decreased. Using this event, we show that the Chinese A-share market is more informationally efficient than the B-share market, both before and after the opening of the B-share market. Furthermore, after the event, both the adverse selection and the order-processing component of B shares decreased, as a result of a larger investor base and possibly a lower proportion of informed investors. This study thus sheds new light on the market segmentation and its effect on transaction costs.  相似文献   

12.
    
Because the bid-ask spread often defies direct measurement, a serial covariance-based approach is frequently used to estimate it. We develop a new serial covariance estimator that exploits the relation of time-varying volatility to trading activity to obtain more precise estimates. The performance of Roll's (1984) estimator and the new estimator are compared using intraday data for four foreign currency futures. The new estimator finds currency futures spreads to be of economic significance—usually two to three ticks, or $25.00 to $37.50 per contract. A distinct maturity effect is present, with the lowest spreads occurring one to three months from expiration. While no evidence is found that the intraday spread changes near closing, the spread is larger near opening for some contracts four to six months from expiration.The University of Texas at Austin. We appreciate the comments of Katherine Daigle, Scott Irwin, Dan Quan, Barry Schachter, workshop participants at the University of Houston, and three anonymous referees. Part of this work was completed while Laux was visiting the Commodity Futures Trading Commission, and the support of the Commission is appreciated.  相似文献   

13.
This study examines empirical issues associated with the use of bid-ask spreads in event studies. The simulation results indicate that the distribution of average standardized abnormal spread shows little deviation from normality. Simulation results also indicate that the widely used percent spread metric results in test statistics with low power. In contrast, use of a standardized raw spread metric and a simple mean-adjusted expectation model results in well specified and reasonably powerful Patell and Brown-Warner type test statistics. As the abnormal spread series is characterized by high first order serial correlation, it is important to adjust for this serial correlation when using multi-day event windows.  相似文献   

14.
    
This paper examines the intraday bid-ask bounce in Deutschemark and Japanese yen futures prices. The intraday Markovian bid-ask bounce process, which leads to a desirable equilibrium condition of reaching a bid or an ask transaction type with equal chances, is identified. A second-order Markov chain transition matrix model is used to derive a generalized estimator of bid-ask spreads in the foreign exchange futures market. It incorporates the conditional probabilities of a subsequent transaction being the same type as the current transaction's () and that of the next transaction being the same as the current type but different from the previous type (). The specification is {-Cov(Pt,Pt+1)/[(1–)(–)]}1/2. The empirical results show that the average implied bid-ask spread is about $10, which is less than one tick's value of $12.50. It is also found that spreads are higher at the beginning and end of the trading day than the rest of the day, reflecting the uncertainty due to information flows and overnight inventory carrying costs, respectively.  相似文献   

15.
    
Abstract

In this paper we examine the stock price effect of changes in the composition of the FTSE 100 over the time period of 1984–2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed firms increases. The evidence is consistent with the information cost/liquidity explanation. This is because investors hold stocks with more available information, implying that they have lower trading costs. This explains the increase in the stock price and trading volume of newly listed stocks to the FTSE 100 List. We find the reverse effect for the deletions from the FTSE 100.  相似文献   

16.
A considerable body of evidence, both archival and experimental, suggests that accounting accruals are heterogeneously interpreted by investors. We examine whether the information asymmetry among investors arising from this heterogeneous interpretation, implied in these empirical results, affects transactions costs in the form of the adverse selection component of the bid-ask spread. We examine this impact both, in a yearly setting and around the first release of quarterly accrual information. The results of the study provide empirical evidence of a positive association between the adverse selection component and accruals in the yearly analysis. Since wider bid-ask spreads are both theoretically and empirically linked to higher stock returns (Brennan & Subrahmanyam, 1996), our results provide a transaction cost basis for understanding one possible factor underlying the linkage between accruals and cost of equity capital, and accruals and information risk pricing as documented in Francis et al. (2005) and Ecker et al. (2006).  相似文献   

17.
    
We show that the liquidity provided by an individual stock's limit order book comoves significantly with the market aggregate limit order book liquidity. A closer look at the inside and outside liquidity provided by different parts of limit order book suggests that inside liquidity is mainly influenced by market volatility, while idiosyncratic volatility has a larger impact on outside liquidity. Hence, limit order book inside liquidity exhibits higher commonality than outside liquidity. We also show that the comovement between the stock‐level and market‐aggregate limit order book liquidity measures is related to the commonality in the overall stock market liquidity.  相似文献   

18.
  总被引:1,自引:0,他引:1  
Abstract:  The behavior of order imbalance and its impact on market performance at the two Taiwan stock index futures markets, the TAIFEX and the SGX-DT, is investigated. The TAIFEX is an order-driven call market, while the SGX-DT uses a quote-driven continuous trading system. Our empirical results show that for the TAIFEX order-driven market, the spread is minimized when order imbalance is high. In contrast, for the SGX-DT quote-driven market, the spread is highest when order imbalance is high. For both markets, order imbalance has an impact on market liquidity and volatility. The impact is larger and more significant for SGX-DT futures. This suggests that the order-driven market mechanism of TAIFEX futures is superior in absorbing order imbalance and in reducing the resulting price impact.  相似文献   

19.
This paper explores seasonality in the UK stock market. It examines the impact of alternative company year-ends on returns as well as seasonality in bid-ask spreads and trading activity variables including volume, number and size of trades. Consistent with the evidence elsewhere, seasonal variation in stock returns and trading activity is established although there is little evidence of a seasonal pattern in relative bid-ask spreads. Trading rules based on the seasonal patterns do not suggest that seasonality can be exploited to earn excess profits.  相似文献   

20.
We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions.  相似文献   

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