Information–driven trading at the Prague Stock Exchange: Evidence from Intra–Day Data

Many observers argue that informed and insider trading is widespread in the emerging financial markets of transition countries, yet rigorous treatment of this issue has been virtually non–existent. The current paper estimates the extent of informed trading on the Prague Stock Exchange (PSE) using intra–day transaction data. Our estimates confirm that the average share of informed trading is equal to 0.32, which is high relative to developed markets and varies considerably among stocks. Using the Easley et al. (1996) approach on the very best segment of the PSE we obtained a high average probability of informed trading. Since data used in this study cover the period after the major attempts to improve market regulations, our results indicate that the PSE needs further strengthening to recover credibility and to become a real source of corporate financing. JEL classification: G14, G15.     

Risky allocations from a risk-neutral informed principal

We study a model of informed principal with private values where the principal is risk neutral and the agent is risk averse. We show that the principal, regardless of her type, gains by not revealing her type to the agent through the contract offer. The equilibrium allocation transfers some ex-ante risk from one type of agent to the other. Despite the increase in the principal's surplus, allocative efficiency does not necessarily improve. Received: 26 January 2004, Accepted: 5 May 2005 JEL Classification: C72, D23, D82 I would like to thank my supervisor Leonardo Felli for suggestions and Leo Ferraris for helpful discussions. All remainig errors are my own.     

权证对投资者投资偏好影响的实证研究

金融衍生产品的出现提高了证券市场信息传递的速度，知情交易者通过对衍生品的投资提高传递的效率。本文通过对我国权证市场和相应标的股票市场交易高频数据的研究，探讨知情交易者在权证市场出现后是否改变了投资的对象。实证结果表明，尽管有部分知情交易者投资了认购权证，但是并没有证据表明知情交易者偏好认沽权证。造成这一结果的原因可能是权证制度自身的缺陷。     

Making out and making do: how employees resist and make organisational change work through consent in a UK bank

This article draws on fieldwork conducted in the back‐office of a major retail UK bank and explores how, when introducing change, management drew on contradictory normative and rational discourses. Its primary concern is to explore how, in this context, employees engaged in contradictory acts that combined elements of both resistance (‘making out’) and consent (‘making do’) that are difficult to disentangle. It is argued that although both are moves within the game, they can be distinguished from each other because the former works against the grain of corporate intentions, whereas the latter works with them.     

Trade Size Preference of Informed Traders in Indian Equity Markets

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.     

Wealth transfer through private placements: Evidence from China

We examine private issuance of public equity (PIPE) in China, and our results suggest that PIPE investors benefit from the price manipulation before and after issuance. These investors tend to cash out after lockup expiration and make large profits. We also find evidence that the trading of PIPE investors after lockup expiration is informed. Tests about the abnormal returns in the 3 years after lockup expiration suggest that at least part of the benefits PIPE investors receive come from wealth transfer from outside investors. Overall, PIPE issuers in China seem to use an opaque mechanism to compensate PIPE investors.     

Mobilizing consent: paternalism and cellular manufacturing

In this paper we explore the dynamics of the introduction of New Systems and Structures of Work Organization (NSSWO) in the context of the forces impacting upon organizational change in the unionized sector of manufacturing industry throughout the Thatcher period. This we do by way of a detailed case study of a major UK auto-components manufacturer. We explore a number of changes in work organization, including the introduction of a cellular-based system of manufacturing, from its initial strategic conception through to its implementation; the delegation of responsibility for quality to shop-floor operators and the use of more flexible working practices. In doing so, we reconsider the context of change, the detailed processes of change and the pattern of accommodation between labour and management. Drawing upon our previous work on the nature of paternalism (Ackers,and Black, 1991), we explore its significance in terms of management’s constant drive for more economic work practices and patterns of organization. Specifically we explore the significance of paternalism as a relevant concept in interpreting the case, and hence, also, as a relevant concept in understanding HRM. The case challenges the prevailing ideology that the ‘successful’

economic organization requires (a) a de-regulated labour market and (b)

a trade union free environment, or, failing this, that management needs to

develop an individualistic approach towards the work-force, moving from the

more pluralist‘industrial relations’approach towards an essentially ‘unitarist framework, as found in certain interpretations of ‘uman resource management’(Guest, 1987)

The paper is thus a contribution to the continuing analysis of those ‘tensions and struggles through which the open ended potential of labour power have been managed, through shifting patterns of coercion, accommodation and compliance into profitable forms of production’(Elger and Smith, 1994: 12; Thompson, 1990). By means of this case we attempt to explore this issue with respect to three interconnected

themes:

The place of paternalism as a relevant concept in the age of HRM.

The extent to which organizations may be better advised to look towards ways

to build upon their existing organization culture, rather than seeking solutions

from overseas models.

Linking with previous work on the ‘Joint Process’in the US (Black and Ackers, 1994), the paper raises issues concerning the ‘strategic issue . . . which managers have to face . . . the balance between joint regulation and joint consultation’(Storey and Sissons, 1993: 221), and hence the role of trades unions in organizational change programmes.     

关于我国股市知情交易水平及其性质的实证研究

基于Easley、Hvidkjaer和O'Hara的序贯交易模型与PIN (Probability of Information-based Trading,基于信息的交易比率)指标对我国股市知情交易情况进行的实证分析研究结果表明:(1)我国股市信息不对称程度较高;(2)由于知情交易者利用坏消息的能力有限且流动性交易水平较高,我国股市知情交易比率并不太高;(3)知情交易比率与后续期间股票收益率的负相关性,表明我国股市中市场操控型知情交易比较严重.因此,我们认为应进一步完善上市公司的信息披露制度,降低投资者之间的信息不对称程度,同时确保流动性投资者参与股市的积极性;在引入做空机制时应慎重考虑和综合权衡,避免不适当地增加流动性投资者所承担的逆向选择风险水平,降低股市的流动性供给和风险分散功能;证券市场监管部门应进一步加强对异常交易活动的监控,加大对市场操纵行为的打击力度,以确保我国证券市场的健康发展.     

Informed Trading Around Earnings Announcements: Another Look

This study is an empirical test of the Easley, O'Hara, and Srinivas (1998) multimarket sequential trade model of stock and option markets. We employ two approaches to determine the information content of signed stock and option trades executed around quarterly earnings announcements. The first approach expands the vector autoregression (VAR) technique of Hasbrouck (1991a) to include signed option trade volumes and inter‐trade durations. Estimates from the VAR models provide insight into whether both equity and option trades are viewed as informative by the equity specialist. The second approach focuses on the information content of the earnings releases to determine whether signed equity and option trades executed prior to the announcements are informed. Results indicate that although informed traders prefer to transact in both markets around earnings announcements, option market transactions contain no incremental information.