Adverse-Selection Costs and the Probability of Information-Based Trading

Prior studies offer various empirical models to decompose the observed bid‐ask spread into the adverse‐selection and transitory (order‐processing and inventory‐holding) components. There is limited evidence, however, on whether the spread components estimated from these models indeed measure what they purport to measure. In this study, we show that the estimates of the adverse‐selection component given by these models are positively and significantly related to the probability of information‐based trading (PIN), after controlling for the endogeneity of the PIN and other stock attributes. These results provide direct empirical support for the spread component models examined in the present study.     

中国银行业发展回顾与展望

从制度上看，现在的银行和金融市场系统是从高度集中的、单一的银行体系发展而来。单一的银行体系同时既作为中央银行，负责发行货币、履行政府的货币政策，也作为商业银行，负责存贷款、结算业务。到了20世纪50年代中期，银行体系开始扩大，中国银行建立了，它接受中国人民银行的领     

Strategic human resource management,firm performance,and employee relations climate in China

We examined strategic human resource management (SHRM) and human resource practices in the People's Republic of China to assess the impact of these practices on firm performance and the employee relations climate. We also tested whether firm ownership moderates the above relationships. Empirical results from a sample of Chinese firms from various industries and regions showed that the levels of adoption of SHRM and HR practices were lower in state‐owned enterprises (SOEs) than in foreign‐invested enterprises (FIEs) and privately owned enterprises (POEs). Both SHRM and HR practices were found to have direct and positive effects on financial performance, operational performance, and the employee relations climate. However, the moderating effect of ownership type was significant for financial performance only. © 2008 Wiley Periodicals, Inc.     

Effects of U.S. Trade Remedy Law Enforcement under Uncertainty: The Case of Steel

This paper investigates the impact of U.S. trade remedy law enforcement on import penetration of foreign-manufactured steel into the U.S. steel market. Given the quasi-judicial process for implementation of the two provisions relevant to U.S. steel imports, section 701 (countervailing duty) and section 731 (antidumping duty), I derive the probability-augmented model to be used as the theoretical basis for the research. The results obtained in this paper indicate that the trade remedy policy was effective. However, the elasticity-measured degree of effectiveness was small.     

On the errors and comparison of Vega estimation methods

This article discusses convergence problems when calculating Vega (option sensitivity to volatility) that arise from discretization errors embedded in the lattice approach. Four alternative improvements to the traditional binomial method are discussed and investigated for performance. We also propose a new Modified Binomial (MB) Method to calculate Vegas. Numerical results show that although the MB is not the most price accurate of the models, due to its error structure as a function of volatility, it produces the most accurate and fastest Vega estimates. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:21–38, 2005     

Auditor Concentration of Listed Public Companies on International Stock Exchanges

This paper explores the concentration of audit services provided to listed public companies on the Stock Exchanges of Canada, Hong Kong, London, and Singapore. The Canadian and London stock exchanges are chosen as representatives of the North American and European markets, while the Hong Kong and Singapore exchanges represent the newly developed Asia Pacific markets. Public accounting firms have benefited from the globalisation trends by expanding their own markets. The reason frequently mentioned for the mergers of the Big 8 accounting firms to form the Big 6 is that they want to increase their international presence and be in a better position to service multinationals in different markets. However, previous studies of concentration of firms in providing auditing services have all been restricted to the USA or individual countries. This study uses both concentration ratios and Herfindahl indices to examine concentration of audit firms in the international stock exchanges. The results indicate a disparate competition amongst the larger firms in each of the Canadian, Hong Kong, London, and Singapore markets. In all of the four markets, the concentration ratios and Herfindahl indices calculated indicate a lack of competition even at the four firm level. This imbalance was very pronounced when the size of the companies audited is considered using their reported total assets. We also present the market shares of the leading six firms in each exchange and discuss some implications of this disparate competition.     

Transparency and market quality: Evidence from SuperMontage

In this study, we examine the effect of pre-trade transparency on market quality using data before and after the introduction of SuperMontage. Our results show that both bid–ask spreads and return volatility declined significantly after the implementation of SuperMontage. In addition, SuperMontage led to significant improvements in the SEC Rule 605 execution quality measures (e.g., faster executions and higher fill rates). Overall, our results indicate that SuperMontage improved market and execution quality on NASDAQ through greater pre-trade transparency and the integrated, more efficient quotation and trading system.     

Information-Based Trading and Price Improvement

Abstract:  In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information-based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer-initiated trades receive smaller (larger) price improvements than seller-initiated trades on the NYSE (NASDAQ).     

DO FOREIGN INVESTORS PRICE FOREIGN EXCHANGE RISK DIFFERENTLY?

We test whether foreign investors price foreign exchange risk differently from local investors. Drawing from the closed‐end country fund literature, we argue that both differential access to information by foreign versus local investors and different sources of exchange risk that investors face (economic or translation exposure) will lead to different pricing of the exchange risk associated with American Depositary Receipt (ADR) investments. We apply a two‐step method to country portfolios of ADRs of Australia, France, Japan, and the United Kingdom traded on the New York Stock Exchange. Our results show that foreign investors generally price exchange risk differently from local investors, and that the source and magnitude of differences in exchange risk pricing vary significantly across countries. Although significant differences in pricing exchange risk between foreign and local investors are observed for Australia, France, and Japan, no such pricing difference is noticed for the United Kingdom. Furthermore, the pricing differences observed for Australian and French ADRs are mainly attributed to the exchange risk of underlying share returns (economic exposure), whereas the pricing differences for Japanese ADRs are mainly attributed to the exchange risk associated with currency translation (translation exposure). We offer some explanations for our findings.