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Author : Jianxin Wang
Publisher :
ISBN 13 : 9781864730241
Total Pages : 19 pages
Book Rating : 4.7/5 (32 download)
Download or read book Asymmetric Information and the Bid-ask Spread written by Jianxin Wang and published by . This book was released on 1997 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anna Krassin Valeva
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (525 download)
Download or read book On the Bid-ask Spread in Asymmetric Information Models written by Anna Krassin Valeva and published by . This book was released on 2002 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard Ray Lindsey
Publisher :
ISBN 13 :
Total Pages : 412 pages
Book Rating : 4.:/5 (33 download)
Download or read book Asymmetric Information and the Price Process written by Richard Ray Lindsey and published by . This book was released on 1992 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hong Liu
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (13 download)
Download or read book Market Making with Asymmetric Information and Inventory Risk written by Hong Liu and published by . This book was released on 2017 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market makers in some financial markets often make offsetting trades and have significant market power. We develop a market making model that captures these market features as well as other important characteristics such as information asymmetry and inventory risk. In contrast to the existing literature, a market maker in our model can optimally shift some trades with some investors to other investors by adjusting bid or ask. As a result, we find that consistent with empirical evidence, expected bid-ask spreads may decrease with information asymmetry and bid-ask spreads can be positively correlated with trading volume.
Author : Jennifer Francis
Publisher : Now Publishers Inc
ISBN 13 : 1601981147
Total Pages : 97 pages
Book Rating : 4.6/5 (19 download)
Download or read book Earnings Quality written by Jennifer Francis and published by Now Publishers Inc. This book was released on 2008 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
Author : Najah Attig
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bid-Ask Spread, Asymmetric Information and Ultimate Ownership written by Najah Attig and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We collect the ultimate ownership data for the 1,167 Canadian traded corporations, for the 1994-1996 period, to examine the relationship between stock liquidity and ultimate ownership structure. Our results suggest that the presence of family increases the bid-ask spread. In addition, the magnitude of the deviation between ultimate ownership and ultimate control at the presence of families is important in determining the bid-ask spread. Furthermore, we document that mechanisms of enhancing control, say pyramid at the presence of families, significantly affect bid-ask spreads.
Author : Erik Remzi Sirri
Publisher :
ISBN 13 :
Total Pages : 374 pages
Book Rating : 4.:/5 ( download)
Download or read book Bid-ask Spread, Price, and Trade Size in a Specialist Market written by Erik Remzi Sirri and published by . This book was released on 1990 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hasan Nejat Seyhun
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Chinese Walls, Information Asymmetry, and Bid-ask Spread written by Hasan Nejat Seyhun and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Young-Hye Cho
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Modeling the Impacts of Market Activity on Bid-ask Spreads in the Option Market written by Young-Hye Cho and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S & P 100 index options using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which option market percentage spreads will be inversely related to the option market maker's ability to hedge his positions in the underlying market, as measured by the liquidity of the latter market. In a perfect hedge world, spreads arise from the illiquidity of the underlying market, rather than from inventory risk or informed trading in the option market itself. We find option market volume is not a significant determinant of option market spreads. This finding leads us to question the use of volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to spreads in the underlying market, again supporting our theory. However, option market duration does affect option market spreads, with very slow and very fast option markets both leading to bigger spreads. The fast market result would be predicted by the asymmetric information theory. Inventory model predicts big spreads in slow markets. Neither result would be observed if the underlying securities market provided a perfect hedge. We interpret these mixed results as meaning that the option market maker is able to only imperfectly hedge his positions in the underlying securities market. Our result of insignificant options volume casts doubt on the price discovery argument between stock and option market (Easley, O'Hara, and Srinivas (1998)). Asymmetric information costs in either market are naturally passed to the other market maker's hedgeing and therefore it is unimportant where the informed traders trade.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1589063856
Total Pages : 302 pages
Book Rating : 4.5/5 (89 download)
Download or read book Financial Soundness Indicators written by International Monetary Fund and published by International Monetary Fund. This book was released on 2006-04-04 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Soundness Indicators (FSIs) are measures that indicate the current financial health and soundness of a country's financial institutions, and their corporate and household counterparts. FSIs include both aggregated individual institution data and indicators that are representative of the markets in which the financial institutions operate. FSIs are calculated and disseminated for the purpose of supporting macroprudential analysis--the assessment and surveillance of the strengths and vulnerabilities of financial systems--with a view to strengthening financial stability and limiting the likelihood of financial crises. Financial Soundness Indicators: Compilation Guide is intended to give guidance on the concepts, sources, and compilation and dissemination techniques underlying FSIs; to encourage the use and cross-country comparison of these data; and, thereby, to support national and international surveillance of financial systems.
Author : Michael R. Baye
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Asymmetric Information and the Formation of Asset written by Michael R. Baye and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Arthur Hsieh
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (346 download)
Download or read book Bid-ask Spreads in Foreign Exchange Markets written by David Arthur Hsieh and published by . This book was released on 1994 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Malcolm L. Edey
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (37 download)
Download or read book Asymmetric Information and Bid-ask Spreads in the Eurocurrency Markets written by Malcolm L. Edey and published by . This book was released on 1987 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen E. Morris
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (318 download)
Download or read book Bid Ask Spreads with Two Sided Private Information written by Stephen E. Morris and published by . This book was released on 1993 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chun I. Lee
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Effect of Regulation Fd on Asymmetric Information written by Chun I. Lee and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: On 23 October 2000, the U.S. SEC put Regulation Fair Disclosure into effect. It requires companies to disseminate releases of material information to all investors, not selectively. Proponents of Regulation FD argued that the flow of information would improve; critics of the regulation asserted that Regulation FD would increase volatility and reduce the quantity of information being released into the market, resulting in an increase in asymmetric information. We examined components of the bid-ask spread surrounding news releases and trading activity by retail versus institutional investors before and after the institution of Regulation FD. Our results indicate no significant increase in volatility after Regulation FD, and we found little or no increase in the adverse-selection component of bid-ask spreads. Overall, our results do not support critics of Regulation FD.
Author : Vijay Kumar Chopra
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (25 download)
Download or read book Information Asymmetry, Price Changes, Trading Volume and Bid-ask Spreads written by Vijay Kumar Chopra and published by . This book was released on 1990 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (933 download)
Download or read book Information asymmetry and the dealer's bid-ask spread written by and published by . This book was released on 1991 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
