Download or read book Basket Securities Price Formation and Informational Efficiency written by Lei Yu and published by . This book was released on 2005 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the role of basket securities in the efficient price formation process of individual component securities. The study focuses on one type of basket security, exchange traded funds (ETFs), which includes some of the most actively traded securities in the U.S. equity market. A multi-asset variance decomposition methodology is developed to measure the information contributions of the return and trade innovations of ETFs. The results show that a substantial amount of the information incorporated into the efficient price of a component stock originates in the ETF market. More interestingly, ETF trades are found to have permanent impacts on component stock prices. An analysis of ETF introductions reveals that both informational efficiency and market liquidity of the component stocks improve after the ETF starts trading. The findings suggest that seemingly redundant securities can have important informational functions.
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Download or read book CROSS SECTIONS OF THE INFORMATIONAL EFFICIENCY OF ASSET PRICE written by Jing Jiang and published by . This book was released on 2009 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The informational efficiency of asset price varies across individual stock according to stock attributes. We find the informational efficiency is higher for stocks with better liquidity provision, frequent trading, higher prices, larger market capitalizations, and smaller trade sizes than in other ones. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances informational efficiency. Informational efficiency also varies with information environment. We find that stocks with greater information-based trading exhibit higher level of efficiency. The empirical results indicate less concentrated institutional holdings and sound corporate governance structure enhance market efficiency. Lastly, market structure influences informational efficiency. NYSE stocks achieve higher level of efficiency than NASDAQ stocks do. Informational efficiency improves after decimalization in both markets. Our results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that liquidity provision, stock attributes, market structure, and informational environment exert a significant impact on the realization of informational efficiency.
Download or read book Basket Securities The Future of Stock Trading written by Martin Bendmann and published by GRIN Verlag. This book was released on 2006-02-07 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2006 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, European University Viadrina Frankfurt (Oder), course: Market Microstructure, language: English, abstract: Harry M. Markowitz developed the most renowned capital market theory of the last century, for which he received the Nobel Prize in 1990, the “Modern Portfolio Theory”, which can be seen as the basis for basket securities. He recommended investments in diversified portfolios in order to reduce risk.1Especially institutional investors started to trade large diversified bundles of shares in order to construct efficient portfolios. Soon they recognized, that they need to find an alternative with lower transaction costs and lower potential to destabilize the market than the conventional program trading.2Trading baskets that include all stocks, with narrow spreads and liquid markets, appeared to be a solution. As a result at the beginning of the 70s the first index funds were issued in the USA, based on the assumption, that actively managed funds are not able to outperform the market in the long term. Those funds are intended to avoid the costs of program trading that occurred every trade and meet the needs and expectations of the investors. Due to the instant success, several instruments were created. In the following pages I will point out how an ideal basket vehicle should be designed and afterwards examine some of the most popular basket securities concerning the question how good they meet their target of replicating their underlying index and at which price.
Download or read book Issues in Pricing Liquidity Information Efficiency Asymmetric Information and Trading Sysyems written by Evaiigelos Thomas Giouvris and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market microstructure is a relatively new area in finance which emerged as a result of inconsistency between actual and expected prices due to a variety of frictions (mainly trading frictions and asymmetric information) and the realisation that the trading process through which investors' demand is ultimately translated into orders and volumes is of greater importance in price formation than it was originally thought. Despite increased research in the area of liquidity, asset pricing, asymmetric information and trading systems, all subfields in the area of market microstructure, there are a number of questions that remain unanswered such as the effect of different trading systems on systematic liquidity, informational efficiency or components of the spread. This thesis aims at shedding light on those questions by providing a detailed empirical investigation of the effect of trading systems on systematic liquidity, pricing, informational efficiency, volatility and bid-ask spread decomposition mainly with respect to the UK market (FTSEIOO and FTSE250) and to a less extent with respect to the Greek market. Those two markets are at different levels of development/sophistication and are negatively correlated. The aims of this thesis are outlined in chapter one with chapter two providing a detailed review of the theoretical literature relevant to this study. Chapter three is the first empirical chapter and tests for the presence of a common underlying liquidity factor (systematic liquidity) and its effect on pricing for FTSE100 and FTSE250 stocks under different trading regimes. Results show the presence of commonality for FTSE100 and FTSE250 stocks although commonality is weaker for FTSE250 stocks and its role on pricing is reduced. Chapter four investigates the same issues with respect to the Greek market and we find that commonality appears to be stronger in some periods while it is reduced to zero for other periods. Chapter five focuses on the effect that changes in the trading systems can have on informational efficiency and volatility primarily with respect to FTSE100 and FTSE250. Different methodologies and data are employed for this purpose and produce similar results. We find that order driven markets are more responsive to incoming information when compared to quote driven markets. Volatility has a greater impact on the spread when the market is quote driven. We also examined if automated trading increased informational efficiency with respect to the Greek market. The results obtained indicated that the effect of automation was positive. Finally the last chapter focused on the effect of different trading systems on the components of the spread and their determinants. Our main finding is that the asymmetric component of the spread is higher under a quote driven market. Also stock volatility appears to affect the asymmetric component to a greater extent when the market is quote driven. We believe that the main justification for those findings is affirmative quotation.
Download or read book International Finance Discussion Papers written by and published by . This book was released on 1972 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Download or read book The Theory of Corporate Finance written by Jean Tirole and published by Princeton University Press. This book was released on 2010-08-26 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Magnificent."—The Economist From the Nobel Prize–winning economist, a groundbreaking and comprehensive account of corporate finance Recent decades have seen great theoretical and empirical advances in the field of corporate finance. Whereas once the subject addressed mainly the financing of corporations—equity, debt, and valuation—today it also embraces crucial issues of governance, liquidity, risk management, relationships between banks and corporations, and the macroeconomic impact of corporations. However, this progress has left in its wake a jumbled array of concepts and models that students are often hard put to make sense of. Here, one of the world's leading economists offers a lucid, unified, and comprehensive introduction to modern corporate finance theory. Jean Tirole builds his landmark book around a single model, using an incentive or contract theory approach. Filling a major gap in the field, The Theory of Corporate Finance is an indispensable resource for graduate and advanced undergraduate students as well as researchers of corporate finance, industrial organization, political economy, development, and macroeconomics. Tirole conveys the organizing principles that structure the analysis of today's key management and public policy issues, such as the reform of corporate governance and auditing; the role of private equity, financial markets, and takeovers; the efficient determination of leverage, dividends, liquidity, and risk management; and the design of managerial incentive packages. He weaves empirical studies into the book's theoretical analysis. And he places the corporation in its broader environment, both microeconomic and macroeconomic, and examines the two-way interaction between the corporate environment and institutions. Setting a new milestone in the field, The Theory of Corporate Finance will be the authoritative text for years to come.
Download or read book Alphanomics written by Charles Lee and published by Now Publishers. This book was released on 2015-12-16 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alphanomics: The Informational Underpinnings of Market Efficiency is intended to be a compact introduction to academic research on market efficiency, behavioral finance, and fundamental analysis and is dedicated to the kind of decision-driven and prospectively-focused research that is much needed in a market constantly seeking to become more efficient. The authors refer to this type of research as Alphanomics, the informational economics behind market efficiency. Alpha refers to the abnormal returns, which provide the incentive for some subpopulation of investors to engage in information acquisition and costly arbitrage activities. Nomics refers to the economics of alpha extraction, which encompasses the costs and incentives of informational arbitrage as a sustainable business proposition. Some of the questions that are addressed include: why do we believe markets are efficient?; what problems have this belief engendered?; what factors can impede and/or facilitate market efficiency?; what roles do investor sentiment and costly arbitrage play in determining an equilibrium level of informational efficiency?; what is the essence of value investing?; how is it related to fundamental analysis (the study of historical financial data)?; and how might we distinguish between risk and mispricing based explanations for predictability patterns in returns? The first two sections review the evolution of academic thinking on market efficiency and introduce the noise trader model as a rational alternative. Section 3 surveys the literature on investor sentiment and its role as a source of both risks and returns. Section 4 discusses the role of fundamental analysis in value investing. Section 5 reviews the literature on limits to arbitrage, and section 6 discusses research methodology issues associated with the need to distinguish mispricing from risk.
Download or read book Trading Costs and Informational Efficiency written by Eduardo Dávila and published by . This book was released on 2019 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex-ante identical: price informativeness is independent of the level of trading costs. When investors are ex-ante heterogeneous, anything goes, and a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear, and fixed costs. Through a reduction in information acquisition, trading costs reduce price informativeness. We discuss how our results inform the policy debate on financial transaction taxes/Tobin taxes.
Download or read book Further Results on the Informational Efficiency of Competitive Stock Markets written by Sanford J. Grossman and published by . This book was released on 1977 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Electronic bulls and bears U S securities markets and information technology written by and published by DIANE Publishing. This book was released on 1990 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Sports and Lottery Markets written by Donald B. Hausch and published by Elsevier. This book was released on 2011-08-11 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: Its basic empirical research and investigation of pure theories of investment in the sports and lottery markets make this volume a winner. These markets are simpler to study than traditional financial markets, and their expected values and outcomes are uncomplicated. By means of new overviews of scholarship on the industry side of racetrack and other betting markets to betting exchanges and market efficiencies, contributors consider a variety of sports in countries around the world. The result is not only superior information about market forecasting, but macro- and micro-analyses that are relevant to other markets. Easily studied sports markets reveal features relevant for more complex traditional financial markets Significant coverage of sports from racing to jai alai New studies of betting exchanges and Internet wagering markets
Download or read book SEC Docket written by United States. Securities and Exchange Commission and published by . This book was released on 1997 with total page 1220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Determinants of Market Liquidity and Price Efficiency in Financial Markets written by Avanidhar Subrahmanyam and published by . This book was released on 1990 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Philadelphia Stock Exchange and the City It Made written by Domenic Vitiello and published by University of Pennsylvania Press. This book was released on 2010-04-14 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Philadelphia Stock Exchange and the City It Made recounts the history of America's first stock exchange and the ways it shaped the growth and decline of the city around it. Founded in 1790, the Philadelphia Stock Exchange, its member firms, and the companies they financed had profound impacts on the city's place in the world economy. At its start, the exchange and its members helped spur the development of the early United States, its financial sector, and its westward expansion. During the nineteenth century, they invested in making Philadelphia the center of industrial America, raising capital for the railroads and coal mines that connected cities to one another and built a fossil fuel-based economy. After financing the Civil War, they underwrote the growth of the modern metropolis, its transportation infrastructure, utility systems, and real estate development. At the turn of the twentieth century, stagnation of the exchange contributed to Philadelphia's loss of power in the national and world economy. This original interpretation of the roots of deindustrialization holds important lessons for other cities that have declined. The exchange's revival following World War II is a remarkable story, but it also illustrates the limits of economic development in postindustrial cities. Unlike earlier eras, the exchange's fortunes diverged from those of the city around it. Ultimately, it became part of a larger, global institution when it merged with NASDAQ in 2008. Far more than a history of a single institution, The Philadelphia Stock Exchange and the City It Made traces the evolving relationship between the exchange and the city. For people concerned with cities and their development, this study offers a long-term history of the public-private partnerships and private sector-led urban development popular today. More generally, it traces the networks of firms and institutions revealed by the securities market and its participants. Herein lies a critical and understudied part of the history of metropolitan economic development.
Download or read book Federal Register written by and published by . This book was released on 2014 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
