A common factor analysis for the US and the German stock markets
... also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of contemporaneous correlation and non-trading. Tests based on lower sampling freq ...
... also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of contemporaneous correlation and non-trading. Tests based on lower sampling freq ...
Estimating an Equilibrium Model of Limit Order Markets
... methods in price. Dynamic programming has become a crucial component of the structural econometrics tool box, beginning with Miller (1984), Wolpin (1984), Pakes (1986), and Rust (1987), and is used to approach a variety of problems. While my model is not explicitly dynamic, I use similar intuition i ...
... methods in price. Dynamic programming has become a crucial component of the structural econometrics tool box, beginning with Miller (1984), Wolpin (1984), Pakes (1986), and Rust (1987), and is used to approach a variety of problems. While my model is not explicitly dynamic, I use similar intuition i ...
Investment Basics XLVI. On estimating the beta coefficient
... whilst in the trade-to-trade approach the returns are matched and measured during the last consecutive trading days in each month. Bowie and Bradfield (1993) assessed the superiority of these two types of estimators on the JSE and conclusively found that the trade-to-trade was superior for applicati ...
... whilst in the trade-to-trade approach the returns are matched and measured during the last consecutive trading days in each month. Bowie and Bradfield (1993) assessed the superiority of these two types of estimators on the JSE and conclusively found that the trade-to-trade was superior for applicati ...
Disconcerting Discourse Communities: the CIG
... and starts to decrease in value (mirror the current market). The fact that Disney had still been experiencing growth suggests that it may be worth investing. The final and most important point being made, as for the analysis of the stocks value chart, was the accumulation of the stock. Accumulation ...
... and starts to decrease in value (mirror the current market). The fact that Disney had still been experiencing growth suggests that it may be worth investing. The final and most important point being made, as for the analysis of the stocks value chart, was the accumulation of the stock. Accumulation ...
Paying for Market Quality
... that are traded in a continuous market. Therefore, our focus is not on market failure but on the impact of market-maker adoption on conventional measures of market quality such as spreads, depth and volatility. We also link changes in these measures to changes in the cost of capital of the firm. Fur ...
... that are traded in a continuous market. Therefore, our focus is not on market failure but on the impact of market-maker adoption on conventional measures of market quality such as spreads, depth and volatility. We also link changes in these measures to changes in the cost of capital of the firm. Fur ...
An Economic and Game Theory Approach to the Legalisation of
... If P = k2 , which gives the cost of the poachers to produce one kilo of rhino horn, the illegal market doesn’t make a profit. This is our aim, as poaching would not be worthwhile if this was the case. Consequently, to determine the b in our profit function, we set the price to be k2 ; P = k2 = a − b ...
... If P = k2 , which gives the cost of the poachers to produce one kilo of rhino horn, the illegal market doesn’t make a profit. This is our aim, as poaching would not be worthwhile if this was the case. Consequently, to determine the b in our profit function, we set the price to be k2 ; P = k2 = a − b ...
Effects of Dividends on Stock Prices in Nepal
... and Puckett (1964). Some theories supported MM’s theory of dividend irrelevance whereas most of the theories opposed. MM theorized that the dividend policy is irrelevant like in the capital-structure irrelevance proposition with no taxes or bankruptcy costs. This is known as the "dividend-irrelevanc ...
... and Puckett (1964). Some theories supported MM’s theory of dividend irrelevance whereas most of the theories opposed. MM theorized that the dividend policy is irrelevant like in the capital-structure irrelevance proposition with no taxes or bankruptcy costs. This is known as the "dividend-irrelevanc ...
WITAN INVESTMENT TRUST
... investors may not get back the amount originally invested. This marketing communication is provided for informational purposes only and should not be construed as constituting an offer or a solicitation to buy or sell interests or investments in Witan Investment Trust PLC. Investment trusts can borr ...
... investors may not get back the amount originally invested. This marketing communication is provided for informational purposes only and should not be construed as constituting an offer or a solicitation to buy or sell interests or investments in Witan Investment Trust PLC. Investment trusts can borr ...
Technical Analysis - SelectedWorks
... “Nevertheless, because they carried out more winning than losing trades overall, the traders were still profitable—earning more than $1.4 million in intraday trading profits over a 68-day trading period in a downward-trending market. The traders minimized their loss exposure by trading few shares, t ...
... “Nevertheless, because they carried out more winning than losing trades overall, the traders were still profitable—earning more than $1.4 million in intraday trading profits over a 68-day trading period in a downward-trending market. The traders minimized their loss exposure by trading few shares, t ...
Stock Markets
... • European markets have increased their share of the global market with the advent of a common currency, the Euro • Growth has recently strengthened in the U.K., Canada, Japan, and Pacific Basin countries • International stock markets allow investors to diversify by holding stocks issued by corporat ...
... • European markets have increased their share of the global market with the advent of a common currency, the Euro • Growth has recently strengthened in the U.K., Canada, Japan, and Pacific Basin countries • International stock markets allow investors to diversify by holding stocks issued by corporat ...
Does Pre-trade Transparency Affect the Market Quality in an Order
... The Hausman test rejects the random effect specification. A limit order trade at a specified price becomes a free option at a specified strike price after the trade. ...
... The Hausman test rejects the random effect specification. A limit order trade at a specified price becomes a free option at a specified strike price after the trade. ...
Hedge Funds and Governance Targets
... debates between advocates of management empowerment and advocates of aggressive monitoring by actors in the capital markets. This Article intervenes with an empirical question: What, based on the record so far, have the hedge funds actually done to their targets? Information has been collected on 13 ...
... debates between advocates of management empowerment and advocates of aggressive monitoring by actors in the capital markets. This Article intervenes with an empirical question: What, based on the record so far, have the hedge funds actually done to their targets? Information has been collected on 13 ...
Webtrader Business Terms For Securities Trading
... settlement rules and deadlines apply to Securities. The Client may obtain information about these rules and deadlines by contacting Standard Bank. When a Client purchases Securities, the Client only obtains unconditional title of right to the Securities provided the final payment to Standard Bank is ...
... settlement rules and deadlines apply to Securities. The Client may obtain information about these rules and deadlines by contacting Standard Bank. When a Client purchases Securities, the Client only obtains unconditional title of right to the Securities provided the final payment to Standard Bank is ...
The Impact of Serial Correlation on Option Prices in a Non
... impossible.1 The attempt to do so for individual stocks, as opposed to an index, would be, if anything, even more formidable. There is no reason to believe that individual option market makers or traders are any better at perfecting the impossible job of constructing perfect hedges than the largest ...
... impossible.1 The attempt to do so for individual stocks, as opposed to an index, would be, if anything, even more formidable. There is no reason to believe that individual option market makers or traders are any better at perfecting the impossible job of constructing perfect hedges than the largest ...
Clarifications to Questions and Criticisms on the Johansen
... 1. For m < 1, the crash hazard rate accelerates up to tc but its integral up to t, which controls the total probability for a crash to occur up to t, remains finite and less than 1 for all times t ≤ tc . It is this property that makes it rational for investors to remain invested, knowing that a bubb ...
... 1. For m < 1, the crash hazard rate accelerates up to tc but its integral up to t, which controls the total probability for a crash to occur up to t, remains finite and less than 1 for all times t ≤ tc . It is this property that makes it rational for investors to remain invested, knowing that a bubb ...
The Impact of Foreign-Currency Movements on Equity
... The U.S. dollar has staged an impressive rally over the past year. Although it has taken a bit of a breather recently, there are reasons to expect the dollar to remain strong, at least over the next year or two. The U.S. Federal Reserve is likely to raise rates in the next 12 months, which would be ...
... The U.S. dollar has staged an impressive rally over the past year. Although it has taken a bit of a breather recently, there are reasons to expect the dollar to remain strong, at least over the next year or two. The U.S. Federal Reserve is likely to raise rates in the next 12 months, which would be ...
Two Additional Market Vectors ETFs Offered to Qualified
... broker-dealers in large, specified blocks of shares called “creation units” and otherwise can be bought and sold only through exchange trading. Creation units are issued and redeemed principally in kind. Shares may trade at a premium or discount to their NAV in the secondary market. Investing involv ...
... broker-dealers in large, specified blocks of shares called “creation units” and otherwise can be bought and sold only through exchange trading. Creation units are issued and redeemed principally in kind. Shares may trade at a premium or discount to their NAV in the secondary market. Investing involv ...