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Changes In Trading Patterns Following Stock Splits And Their Impact On Market Microstructure
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Book Synopsis Changes in Trading Patterns Following Stock Splits and Their Impact on Market Microstructure by : Anand S. Desai
Download or read book Changes in Trading Patterns Following Stock Splits and Their Impact on Market Microstructure written by Anand S. Desai and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We reexamine the impact of stock splits on the volatility and liquidity of the stock. We develop a model of trading where the number of informed traders and changes in the volatility and liquidity are endogenously determined by changes in the number of noise traders. Our empirical evidence suggests that the increase in volatility after stock splits cannot be totally attributed to microstructure biases due to the bid-ask bounce and price discreetness. A significant fraction of the increase in volatility is due to an increase in the number of both noise and informed trades. Also consistent with our model's predictions, we find that the stock's liquidity worsens when the number of noise trades either declines or increases by a small amount. On the other hand, liquidity improves for large increases in noise trades, which is consistent with the managerial motive for stock splits. A crucial determinant of the increase in noise trades is the release of positive information to the market soon after the announcement of the split.
Book Synopsis Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread by : A. S. Desai
Download or read book Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread written by A. S. Desai and published by . This book was released on 1996 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread by : Anand S. Desai
Download or read book Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread written by Anand S. Desai and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine changes in trading activity around stock splits, and their effect on the volatility and the adverse information component of the bid-ask spread. Even after controlling for microstructure biases, we find a significant increase in the volatility after the split. Changes in total volatility and in its permanent component are positively related to changes in the number of trades. This suggests that both informed and noise traders contribute to changes in trading activity. Further, while the adverse information component of the spread increases unconditionally after the split, the change is negatively related to the change in trading activity. The results suggest that a crucial determinant of liquidity changes after a stock split is the success of the split in attracting new trades in the security.
Book Synopsis Market Microstructure In Practice (Second Edition) by : Charles-albert Lehalle
Download or read book Market Microstructure In Practice (Second Edition) written by Charles-albert Lehalle and published by World Scientific. This book was released on 2018-01-18 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.
Book Synopsis How Stock Splits Affect Trading by : David Easley
Download or read book How Stock Splits Affect Trading written by David Easley and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Extending an empirical technique developed in Easley, Kiefer, and O'Hara (1996, 1997a), we examine different hypotheses about stock splits. In line with the trading range hypothesis, we find that stock splits attract uninformed traders. However, we also find that informed trading increases, resulting in no appreciable change in the information content of trades. Therefore, we do not find evidence consistent with the hypothesis that stock splits reduce information asymmetries. The optimal tick size hypothesis predicts that stock splits attract limit order trading and this enhances the execution quality of trades. While we find an increase in the number of executed limit orders, their effect is overshadowed by the increase in the costs of executing market orders due to the larger percentage spreads. On balance, the uninformed investors' overall trading costs rise after stock splits.
Book Synopsis The Effect of Stock Splits on Liquidity by : Patrick Dennis
Download or read book The Effect of Stock Splits on Liquidity written by Patrick Dennis and published by . This book was released on 1998 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Further Evidence on the Impact of Stock Splits on Trading Liquidity by : Józef Rudnicki
Download or read book Further Evidence on the Impact of Stock Splits on Trading Liquidity written by Józef Rudnicki and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock splits have attracted the attention of academicians and practitioners for a long time. Many debates revolve around these often called "cosmetic” events that do not bring about any direct valuation implications. In spite of their simplicity and theoretically no motivation for any potential reaction this corporate event exerts influence on various stock's characteristics like liquidity, rates of return, shareholders' base etc. Considering the time period 2000-May 2011 the author examines the behavior of share volume following the stock splits of companies listed on the New York Stock Exchange and reports a 1-percent significant deterioration of this proxy of liquidity. Additionally, the greatest amplitude of abnormal changes in liquidity is observed during two trading sessions around the actual stock split although there is provided no new information to the market through the physical split of the shares outstanding since it is well-known in advance. The results obtained are indicative of the fact that splitting the stock as opposed to liquidity and/or trading range hypotheses on splits leads to liquidity deterioration what, in turn, should result in greater liquidity risk faced inter alia by brokers and/or market makers who may be willing to compensate for this unfavorable corollary of the corporate event at issue and, as a result, to charge higher transaction costs in the form of e.g. greater bid-ask spreads. On the other hand, shareholders, both existing and prospective, are likely to demand higher compensation for increased risk by requiring greater returns on such stocks.
Book Synopsis The Impact of Clientele Changes by : Ravi Dhar
Download or read book The Impact of Clientele Changes written by Ravi Dhar and published by . This book was released on 2009 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the trades of individual and professional investors around stock splits and find that splits bring about a significant shift in investor clientele. We find that a higher fraction of post-split trades are made by less sophisticated investors, as individual investors increase and professional investors reduce their aggregate buying activity following stock splits. This behavior supports the common practitioners' belief that stock splits help attract new investors and improve stock liquidity. The shift in clientele also influences return properties, price discovery, and asset prices: stocks exhibit stronger serial correlation after splits; stocks co-move more with the market index; and the introduction of new investors explains part of the positive post-split drift puzzle.
Book Synopsis Informed Trading Around Stock Split Announcements by : Philip Gharghori
Download or read book Informed Trading Around Stock Split Announcements written by Philip Gharghori and published by . This book was released on 2015 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders' perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence though of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.
Book Synopsis Stock Splits, Liquidity and Limit Orders by : Marc Lipson
Download or read book Stock Splits, Liquidity and Limit Orders written by Marc Lipson and published by . This book was released on 1999 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of financial economics written by and published by . This book was released on 1996 with total page 932 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trades, Quotes and Prices by : Jean-Philippe Bouchaud
Download or read book Trades, Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Book Synopsis Trading and Exchanges by : Larry Harris
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).
Book Synopsis Financial Modelling by : Maria Bonilla
Download or read book Financial Modelling written by Maria Bonilla and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.
Book Synopsis Dividends and Dividend Policy by : H. Kent Baker
Download or read book Dividends and Dividend Policy written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2009-05-04 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.
Book Synopsis Tick Size and Limit Order Execution by : Tom M. Arnold
Download or read book Tick Size and Limit Order Execution written by Tom M. Arnold and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens
Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
