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Author : David Michayluk
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (223 download)
Download or read book Liquidity, Market Structure and Stock Splits written by David Michayluk and published by . This book was released on 2001 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Schwartz
Publisher : John Wiley & Sons
ISBN 13 : 0471689882
Total Pages : 482 pages
Book Rating : 4.4/5 (716 download)
Download or read book Equity Markets in Action written by Robert A. Schwartz and published by John Wiley & Sons. This book was released on 2004-10-06 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Author : Marc Lipson
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 (21 download)
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:
Author : Patrick Dennis
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (46 download)
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:
Author : Józef Rudnicki
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (131 download)
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.
Author : David Bosch
Publisher : GRIN Verlag
ISBN 13 : 364097543X
Total Pages : 23 pages
Book Rating : 4.6/5 (49 download)
Download or read book A stock split event study using sector-indices vs. CDAX and some extensions of the standard market model written by David Bosch and published by GRIN Verlag. This book was released on 2011-08-03 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2009 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Humboldt-University of Berlin (Institut für Bank und Börsenwesen), course: Seminar of Banking and Financial Markets, language: English, abstract: There are many theories in literature which try to examine possible reasons for a stock split. While a stock split seems to be just a cosmetic corporate event, it is often claimed that the motivation to carry out a stock split is to signal future profitability or to bring the share price to a preferred trading-range. Additionally there are many papers published, where the impact of a stock split on liquidity and institutional ownership is examined. Some results of these studies are briefly discussed in the Literature Review. Most researchers calculate their abnormal returns with the market model by using the most common index in their economy. In this paper, I check whether sector-indices fit the data better than the CDAX does. In some cases, the sector-indices describe the stock returns better. Another topic of event studies that researchers of the finance area often deal with is whether the assumptions of the market model established by Fama, Fisher, Jensen and Roll (1969) do hold for daily stock returns. I will discuss some of the weaknesses when applied to financial time series and I present two models which can improve the efficiency of the model.
Author : Deniz Ozenbas
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author : Maria Gårdängen
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.3/5 ( download)
Download or read book Share Liquidity and Corporate Efforts to Enhance it written by Maria Gårdängen and published by . This book was released on 2005 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anand S. Desai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Christian Wulff
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Market Reaction to Stock Splits - Evidence from Germany written by Christian Wulff and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the market reaction to stock splits, using a set of German firms. Similar to the findings in the U.S., I find significant positive abnormal returns around boththe announcement and the execution day of German stock splits. I also observe an increase in return variance and in liquidity after the ex-day. Apparently, legal restrictions strongly limit the ability of German companies to use a stock split for signaling. I find that abnormal returns around the announcement day are consistently much lower in Germany than in the U.S. Further, I find that abnormal returns around the announcement day are not related to changes in liquidity, but (negatively) to firm size, thus lending support to the neglected firm hypothesis. On the methodological side the effect of thin trading on event study results is examined. Using trade-to-trade returns increases the significance of abnormal returns, but the difference between alternative return measurement methods is relatively small in short event periods. Thus, the observed market reaction cannot be attributed to measurement problemscaused by thin trading.
Author : Tom M. Arnold
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 (21 download)
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:
Author : Robert A. Schwartz
Publisher : Wiley
ISBN 13 : 9780471469223
Total Pages : 480 pages
Book Rating : 4.4/5 (692 download)
Download or read book Equity Markets in Action written by Robert A. Schwartz and published by Wiley. This book was released on 2004-08-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Author : José Yagüe
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Transaction Size, Order Submission and Price Preferences Around Stock Splits written by José Yagüe and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the effect of splits on stock liquidity. The results show a drop in trading volume and depth and an increase in the relative bid-ask spread. We detect a change in trading composition, with an increase in the smallest transactions, mainly on the buyer side of shares whose prices fall significantly after the split. The information asymmetry does not diminish, given that the adverse selection component of the effective spread reduces only insignificantly for the full sample. Finally there are not significant changes in the percentage of orders that provide liquidity to the market. These findings indicate that splits, despite higher transaction costs, encourage the entry of small investors attracted by the lower stock prices.
Author : Thierry Foucault
Publisher : Oxford University Press
ISBN 13 : 0197542069
Total Pages : 531 pages
Book Rating : 4.1/5 (975 download)
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author : wissem daadaa
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Stock Splits and Stock Dividends written by wissem daadaa and published by . This book was released on 2016 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent theoretical researches in equity market consider that the enhanced liquidity is the principal motivation for stock splits and stock dividends, however, empirical studies find different results and even a decline in liquidity after the announcements or the effectives dates (ex dates) of theses events. In this paper, we analyze the stock splits and stock dividends effects on liquidity using bid ask spread measures. The sample is composed of all the stock splits and stock dividends announcements on Tunisia Stock Exchange (TSE), between 1990 and 2010. We test the change of the various indicators liquidity before the announcement period, between the announcement and the ex date, and after the ex date. The results show an increase in the absolute and relative spread after the ex date of stock splits. This increase in the spread involves an increase in the investor transaction cost, a degradation of the short-term liquidity and the fall of the market quality. This increase is explained by order processing costs and inventory holding costs.
Author : A. S. Desai
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.E/5 ( download)
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:
Author : Gow-Cheng Huang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Information Content of Multiple Stock Splits written by Gow-Cheng Huang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relationship between the frequency of stock splits and firms' motives for splitting their stock. Compared to their peers, infrequent splitters show higher post-split operating performance, but not so for frequent splitters. We find that split ratio and liquidity change explain the stock split announcement effect for the frequent splitters. In contrast, the change in operating performance in split year explains the announcement effect for the infrequent splitters. Our results suggest that frequent splits are more consistent with the trading range/improved liquidity hypothesis and infrequent splits are more consistent with the signaling hypothesis.
