Download or read book Liquidity Information Asymmetry Divergence of Opinion and Asset Returns written by Guangchuan Li and published by . This book was released on 2008 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the independent and dominating effects of the liquidity level, the information asymmetry and the divergence of opinion on asset returns in an important emerging market, Chinese stock market. We use the variable ILLIQ from Amihud (2002) to proxy for the liquidity level, the variable PIN from Easley, Hvidkjaer, and O'Hara (2002) to proxy for the information asymmetry and the variable OBS based on Naes and Skjeltorp (2006) to proxy for the divergence of opinion. We find striking evidence that stocks with a higher liquidity level, or a lower information asymmetry, or a lower divergence of opinion, experience significantly lower excess returns. More importantly, the explanatory power of the liquidity level on asset returns may only reflect those from either the information asymmetry or the divergence of opinion. Moreover, we find no evidence on the dominating effect between the information asymmetry and the divergence of opinion when examining their impact on asset returns. These further findings verify the fact that the information asymmetry and the divergence of opinion both affect the liquidity level and meanwhile, the asymmetric information seems only partly to explain the dispersed beliefs among investors in Chinese stock market.

Download or read book Information Asymmetry Divergence of Opinions and Firm Specific Liquidity written by Mohammad Tayeh and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This research examines the relationship between firm-specific liquidity and both information asymmetry and divergence of opinion, within the context of different trading system (i.e. floor versus electronic), for UK, Swiss and German stock markets. By using both univariate and multivariate analysis, the results, in general, show that firms with low (high) levels of information asymmetry between company managers and outside investors have high (low) liquidity. However, the evidence concerning the impact of divergence of opinion among investors on liquidity is mixed. We find that divergence of opinion is positively related to all measures of liquidity during the two sub-samples periods, before and after automation. That is, while the positive relation between divergence of opinion and both proportional bid-ask spread and price impact support the risk view of divergence of opinion, the positive relation between divergence of opinion and turnover ratio supports the optimistic view. The results also show that the impact of information asymmetry and divergence of opinion on firm-specific liquidity is different across trading systems. That is, the results show that in most cases for all markets, the impact of information asymmetry (divergence of opinion) on firm-specific liquidity on floor (electronic) trading systems is lesser than that on electronic (floor) trading systems. This implies that different trading systems could affect differently the informational environment of firms, and thus affect the impact of information asymmetry and divergence of opinion on liquidity. However, after allowing for the market-wide and industry-wide information, the results show that both information asymmetry and divergence of opinion have no additional explanatory power. This implies that both market and industry factors are able to explain the cross-sectional variation in firm-specific liquidity, which puts into question the role of financial analysts and the value of the information they provide to investors in the market.

Download or read book Stock Market Liquidity written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2008-01-09 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.

Download or read book A Comparative Analysis of the Determinants and Pricing of Liquidity in Floor and Electronic Trading Systems written by Mohammad Ibrahim Diab Tayeh and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years many stock exchanges have moved away from floor-based to automated-based trading systems. However, the choice between these alternative trading systems is a major concern for stock exchange regulators and designers, and the impact of their merits on market characteristics (e.g. liquidity) is controversial. This thesis is motivated by the desire to shed light on this controversy, and therefore aims to offer a comparative analysis of various aspects of liquidity under floor and automated trading systems. More specifically, within the context of different trading systems (i.e. floor versus electronic), this thesis examines three empirical issues: firstly, the determinants of market-wide liquidity and its time-series behaviour; secondly, whether market-wide and firm-specific liquidity are priced in assets returns; and finally, whether the cross-sectional variations in firm-specific liquidity could be explained by the cross-sectional variations in information asymmetry and divergence of opinion. The findings of this thesis can be summarized as follows. Firstly, market-wide liquidity is significantly influenced by market returns, market volatility, interest rate variables and the announcement of macroeconomic indicators. Market-wide liquidity also shows distinct day-of-the-week regularities and a distinct pattern around holidays. The impact of some factors on market-wide liquidity, and the time-series behaviour of market-wide liquidity on the floor trading system in some markets is higher than that on the electronic trading systems. Secondly, market-wide liquidity has a significant impact on assets returns, and after controlling for its effect, firm-specific liquidity has a significant effect on risk-adjusted returns. The liquidity premium required on market-wide and firm-specific liquidity, for some proxies of liquidity in some markets, is higher on an automated trading system than on a floor trading system. Finally, firm-specific liquidity is negatively related to the level of information asymmetry. However, the evidence for the impact of divergence of opinion on firm-specific liquidity is inconclusive; a higher level of divergence of opinion results in higher liquidity, which supports the optimistic view; and firm-specific liquidity decreases with divergence of opinion, which is consistent with the view that disagreement among investors is a source of risk. Additionally, after automation, the impact of information asymmetry (divergence of opinion) on firm-specific liquidity is greater (lesser) than that before automation. Overall, this thesis demonstrates that the design and the structure of markets is closely linked to the latter?s performance and that the change to automated trading systems has significant implications for liquidity. As such, this study should be a valuable reference point for stock exchanges that have introduced automation, or are considering doing so.

Download or read book Information Asymmetry Liquidity and Stock Returns written by Sanders Chang and published by . This book was released on 2015 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new measure for the probability of informed trading, called PCP. Using double-sorted portfolios, we find that excess returns increase from low to high PCP portfolios. In regression analysis, the effect of PCP on returns is significantly positive after controlling for illiquidity effect. The point estimate of the coefficient on one PCP is 3.788, suggesting that a difference of 10 percentage points in the PCP between two stocks leads to a difference in expected returns of 4.5 percent annually. Thus, the effect is also economically significant. Our results support the information asymmetry hypothesis that information risk is priced.

Download or read book Limited Liquidity Market Asymmetry and Stylized Facts of Asset Returns written by Jakob Krause and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Starting from the premise that hedging pressure is based on limited market efficiency I provide an analogy that electricity markets over years behave like intraday stock or FX markets during the liquidation of a block trade. In this endeavour I relate the returns of some liquidity exploitation strategies with the degree of liquidity metrics by utilising the characteristic initial endowments of market participants in electricity markets. In a second step I introduce a simple stochastic model that is able to capture a variety of stylized facts of asset returns (first order price impact, Samuelson Effect, negative prices) over the whole life span of the contract and that circumvents typical information modeling pitfalls for non-storable commodities. This argument is based on modeling 'market impact' as an additional asset with a known terminal value and is justified by an enlargement of filtration argument.

Download or read book Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition written by Dimitri Vayanos and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Expectations and the Structure of Share Prices written by John G. Cragg and published by University of Chicago Press. This book was released on 2009-05-15 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.

Download or read book Advances in Business Management and Entrepreneurship written by Ratih Hurriyati and published by CRC Press. This book was released on 2020-01-06 with total page 1022 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GCBME Book Series aims to promote the quality and methodical reach of the Global Conference on Business Management & Entrepreneurship, which is intended as a high-quality scientific contribution to the science of business management and entrepreneurship. The Contributions are the main reference articles on the topic of each book and have been subject to a strict peer review process conducted by experts in the fields. The conference provided opportunities for the delegates to exchange new ideas and implementation of experiences, to establish business or research connections and to find Global Partners for future collaboration. The conference and resulting volume in the book series is expected to be held and appear annually. The year 2019 theme of book and conference is "Creating Innovative and Sustainable Value-added Businesses in the Disruption Era". The ultimate goal of GCBME is to provide a medium forum for educators, researchers, scholars, managers, graduate students and professional business persons from the diverse cultural backgrounds, to present and discuss their researches, knowledge and innovation within the fields of business, management and entrepreneurship. The GCBME conferences cover major thematic groups, yet opens to other relevant topics: Organizational Behavior, Innovation, Marketing Management, Financial Management and Accounting, Strategic Management, Entrepreneurship and Green Business.

Download or read book Financial Crises Explanations Types and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Download or read book Behavioral Corporate Finance written by Hersh Shefrin and published by College Ie Overruns. This book was released on 2017-04-16 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Pacific Basin Business Economics and Finance written by Cheng-Few Lee and published by Emerald Group Publishing. This book was released on 2020-09-09 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Asset Price Bubbles written by William Curt Hunter and published by MIT Press. This book was released on 2005 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study of asset price bubbles and the implications for preventing financial instability.

Download or read book Price Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.