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Price Clustering: Evidence Using Comprehensive Limit‐Order Data
Financial Review - Tập 44 Số 1 - Trang 1-29 - 2009
Chaoshin Chiao, May D. Wang
AbstractEmploying comprehensive limit‐order data which identify investor types, this paper examines the clustering pattern of limit‐order prices. First, limit orders, particularly those submitted by individual investors (IIs), tend to cluster at integer and even prices. Second, nonmarketable limit‐order prices cluster more than marketable limit‐order prices, indicating that aggressive limit orders... hiện toàn bộ
Price Clustering on the Tokyo Stock Exchange
Financial Review - Tập 42 Số 2 - Trang 289-301 - 2007
Aslı Aşçıoğlu, Carole Comerton‐Forde, Thomas H. McInish
AbstractThis paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. Ther... hiện toàn bộ
Asymmetric Effects of Interest Rate Changes on Stock Prices
Financial Review - Tập 35 Số 3 - Trang 125-144 - 2000
Bento J. Lobo
AbstractThis study examines the stock price adjustment process around announcements of changes in the federal funds rate target in the 1990s using an asymmetric autoregressive exponential GARCH model (ASAR‐EGARCH). We find that target change announcements convey new information to the stock market. Risk aversion increases before the announcement of a rate change, and especially before the announce... hiện toàn bộ
Managerial Motives and Merger Financing
Financial Review - Tập 35 Số 4 - Trang 139-152 - 2000
Saeyoung Chang, Eric L. Mais
AbstractWe examine how managerial motives influence the choice of financing for a sample of 209 completed mergers from 1981–1988. Our evidence indicates that bidding firm management is more likely to finance mergers with cash when target firm ownership concentration is high, preventing the creation of an outside blockholder. This suggests bidding firm managers prefer to keep ownership structure wi... hiện toàn bộ
Voluntary Divestitures and the Choice Between Sell‐Offs and Spin‐Offs
Financial Review - Tập 31 Số 4 - Trang 885-912 - 1996
A. Qayyum Khan, Dileep R. Mehta
AbstractA voluntary divestiture may either be a sell‐off or a spin‐off. In a sell‐off, the divesting firm receives cash (or cash equivalents) and gives up ownership and control of the divested asset. In a spin‐off, the divested asset becomes an independent entity under a new management but ownership remains with the old stockholders of the original firm. The study investigates the divestiture deci... hiện toàn bộ
Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
Financial Review - Tập 38 Số 4 - Trang 591-609 - 2003
Jian Yang
AbstractThis study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data‐determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B‐share market are better informed... hiện toàn bộ
Regulatory Soft Interventions in the Chinese Market: Compliance Effects and Impact on Option Market Efficiency
Financial Review - Tập 54 Số 2 - Trang 265-301 - 2019
Jimmy E. Hilliard, Haoran Zhang
AbstractSecurities Laws in China are administered by the China Securities Regulatory Commission (CSRC). The CSRC has great flexibility in administering securities laws since the committee represents the will of the state. Under the state‐controlled financial system, the CSRC works closely with state‐controlled financial firms and suggests, but does not mandate, actions to be taken in the equity ma... hiện toàn bộ
THE NEGLECTED AND SMALL FIRM EFFECTS
Financial Review - Tập 17 Số 4 - Trang 201-218 - 1982
Avner Arbel, Paul Strebel
AbstractThis paper addresses the empirical question of whether the differential attention which companies receive affects the capital asset pricing process. The degree of attention was measured by research concentration rankings based on the number of analysts regularly following the firm's securities. The results suggest: (i) that there is a “neglected firm effect” in terms of superior performanc... hiện toàn bộ
The Impact of Warrants and Convertible Securities on the Systematic Risk of Common Equity
Financial Review - Tập 30 Số 4 - Trang 843-856 - 1995
Michael C. Ehrhardt, Ronald E. Shrieves
AbstractThis paper addresses the relationship between the capital structure and the systematic risk of common equity for a firm whose capital structure includes convertible securities. Adding warrants to the capital structure reduces the systematic risk of equity, which is consistent with the fact that warrants dampen the volatility of equity by reducing the upside potential gains of existing stoc... hiện toàn bộ
First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns
Financial Review - Tập 38 Số 3 - Trang 455-471 - 2003
Gregory Koutmos, A. D. Martin
AbstractThis study investigates the impact of first‐ and second‐moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first‐moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant exposures are asymmetric. When the model utilizes one‐day lags, 42.2% of the cases are significant... hiện toàn bộ
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