Download or read book Are Trade Size Based Inferences About Traders Reliable Evidence from Institutional Earnings Related Trading written by William M. Cready and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of observed transaction sizes to differentiate between “small” and “large” investor trading patterns is widespread. A significant concern in such studies is spurious effects attributable to misclassification of transactions, particularly those originating from large investors. Such effects can arise unintentionally, strategically, or endogenously. We examine comprehensive records of a sample of institutional investors (i.e., “large” traders), including their order sizes and overall position changes, to assess the degree to which such misclassifications give rise to spurious inferences about “small” and “large” investor trading activities. Our analysis shows that these institutions are heavily involved in small transaction activity. It also shows that they increase their order sizes substantially in announcement periods relative to nonannouncement periods, presumably as an endogenous response to earnings news. In the immediate earnings announcement period, transaction size-based inferences about directional trading are quite misleading -- producing spurious “small trader” effects and, more surprisingly, erroneous inferences about “large trader” activity.
Download or read book Investors Trade Size and Trading Responses Around Earnings Announcements written by Neil Bhattacharya and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research suggests that the earnings expectations of a segment of the market can be described by the seasonal random-walk model. Prior research also provides evidence that less wealthy and less informed investors tend to make smaller trades (small traders) than wealthier and better informed investors (large traders).I hypothesize that it is the earnings expectations of small traders that are associated with predictions from the seasonal random-walk model. By directly analyzing the trading activities of small and large traders, this study provides evidence that is largely consistent with the hypotheses.Specifically, small traders' trading response around earnings announcements is increasing in the magnitude of seasonal random-walk forecast errors even after controlling for absolute analyst forecast errors, contemporaneous price changes, and market-wide trading. Supplementary analysis reveals that this effect is largely confined to firms with relatively impoverished information environments (i.e., smaller firms and firms with little to moderate analyst following).
Download or read book Institutional Trading and Abel Noser Data written by Gang Hu and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 accounting. Of note, we identify corporate finance and accounting as the most under-researched areas that offer promising opportunities for future academic research using the data. To provide guidance for researchers interested in using Abel Noser data, we analyze institutional trading using transaction-level data spanning more than 12 years and covering 233 million transactions with $37 trillion traded. We provide background information on the origin and history of the data, offer suggestions for cleaning and using the data, and discuss (dis)advantages of Abel Noser compared to other data sources for institutional trading. We also document two simple facts: 1) institutional trade sizes decline dramatically over time, rendering trade size-based inferences of institutional trades problematic; 2) we estimate that Abel Noser data cover 12% of CRSP volume over our sample period and 15% for 1999-2005, significantly higher than the estimate in Puckett and Yan (2011) for 1999-2005: 8%, a widely quoted number in the literature. This background should prove useful for researchers seeking to address a number of as yet unexplored issues, especially in corporate finance and accounting research.
Download or read book Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements written by Priyantha Mudalige and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates individual and institutional trading activities in competing firms to infer informed trading. We find evidence for individual and institutional informed trading in competing firms around earnings announcements. The evidence is stronger prior to announcements than after announcements. Magnitude of institutional (individual) net order flow coefficient decreases (increases) with lag length, suggesting that institutional trading captures information faster than individual trading. Individual net order flow transmit information cross-stock when competitor is a small firm while institutional net order flow conveys information cross-stock irrespective of firm size. Our results will be informative for regulators with regard to insider trading laws and provide insights for market participants on the impact of individual and institutional trading on cross-stock price discovery process.
Download or read book Evidence Based Technical Analysis written by David Aronson and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.
Download or read book Iron Coal Trades Review written by and published by . This book was released on 1928 with total page 982 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vol. 115 includes Diamond jubilee issue, 1867-1927.
Download or read book Information Trading and Product Market Interactions written by Heather Elise Tookes and published by . This book was released on 2003 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Download or read book The Impact and Effectiveness of the Small Order Execution System written by United States. Congress. House. Committee on Commerce. Subcommittee on Finance and Hazardous Materials and published by . This book was released on 1998 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cracking the Emerging Markets Enigma written by G. Andrew Karolyi and published by Oxford University Press, USA. This book was released on 2015 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cracking the Emerging Markets Enigma outlines a rigorous, comprehensive, and practical framework for evaluating the opportunities and, more importantly, the risks of investing in emerging markets. Built on a foundation of sound research on foreign direct and portfolio capital flows, Andrew Karolyi's proposed system of evaluation incorporates multiple dimensions of the potential risks faced by prospective investors in an empirically coherent framework.
Download or read book Coping With Institutional Order Flow written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2006-10-16 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: On April 29, 2003, the Zicklin School of Business hosted a trading conference titled, Coping With Institutional Order Flow. This conference was electronically recorded and later transcribed for this book. The text includes the edited transcript of the panel discussions and separate presentations by two major industry executives, Richard Ketchum' and Robert Mc Sweeney. As with the other volumes in this popular series, this book is not simply intended to be an historical record of the conference. We have edited the manuscript for clarity, perspective and context. New material was gathered in subsequent interviews with many of the panelists. Consequently, some remarks and passages in the text were altered and expanded and many footnotes were introduced. Our goal was to flesh out the dialogue and presentations and to keep the material as contemporary as possible. In doing so, we went to great lengths to preserve the essential nature of the original debate. We worked closely with the panelists in the editing process and took pains not to distort the meaning of their remarks. They have all approved the final draft of the manuscript. We thank them for their assistance and patience. \n my opening remarks at the conference, I suggested that effective handling of institutional order flow is one of the most important and difficult At the time of the conference, Richard Ketchum was President and Deputy Chairman at The Nasdaq Stock Market, Inc. Preface xiv challenges facing our equity markets today.
Download or read book The Handbook of Electronic Trading written by Joseph Rosen and published by . This book was released on 2009-06-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Download or read book Trading and Electronic Markets What Investment Professionals Need to Know written by Larry Harris and published by CFA Institute Research Foundation. This book was released on 2015-10-19 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
