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Quote Dynamics of Cross-Listed Stocks 交叉上市股票的报价动态
Asian Finance Association (AsianFA) 2017 Conference (Archive) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.2697831
Bart Frijns, Ivan Indriawan, A. Tourani-Rad
{"title":"Quote Dynamics of Cross-Listed Stocks","authors":"Bart Frijns, Ivan Indriawan, A. Tourani-Rad","doi":"10.2139/ssrn.2697831","DOIUrl":"https://doi.org/10.2139/ssrn.2697831","url":null,"abstract":"We develop a model to assess the quote dynamics of stocks listed in multiple markets. This model allows us to explain the price formation mechanism and the degree of information spillover. We show that this model can be transformed to assess the dynamics of the spreads, the efficient price, and the market's relative premium for cross-listed stocks. Applying our model to a sample of 64 Canadian companies listed in the U.S. and Canada, we document strong intermarket competition among liquidity providers; prices mainly adjust to trades in their respective market, suggesting some degree of informational frictions; and U.S. trades have a greater price impact than Canadian trades. We further find that the U.S. market is informationally dominant due to its more competitive quote-setting behavior and larger incorporation of informational shocks.","PeriodicalId":105821,"journal":{"name":"Asian Finance Association (AsianFA) 2017 Conference (Archive)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122395812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Navigating through Economic Policy Uncertainty: The Role of Corporate Cash Holdings 通过经济政策的不确定性导航:企业现金持有的作用
Asian Finance Association (AsianFA) 2017 Conference (Archive) Pub Date : 2018-02-01 DOI: 10.2139/ssrn.2907519
H. N. Duong, Justin Hung Nguyen, M. Nguyen, S. Rhee
{"title":"Navigating through Economic Policy Uncertainty: The Role of Corporate Cash Holdings","authors":"H. N. Duong, Justin Hung Nguyen, M. Nguyen, S. Rhee","doi":"10.2139/ssrn.2907519","DOIUrl":"https://doi.org/10.2139/ssrn.2907519","url":null,"abstract":"We find that U.S. corporations increase their cash holdings in response to higher economic policy uncertainty. The increase in cash holdings is not attributed to a reduction in firm investments. This increase is more pronounced for financially constrained firms or those with larger exposure to policy uncertainty. Holding more cash in the presence of policy uncertainty alleviates the negative impact of policy uncertainty on capital investment and firm innovation outputs. Our findings demonstrate that cash holdings represent an important channel in mitigating the negative effect of policy uncertainty on firm real economic activities.","PeriodicalId":105821,"journal":{"name":"Asian Finance Association (AsianFA) 2017 Conference (Archive)","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131912085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 155
Dissecting Arbitrage Costs 剖析套利成本
Asian Finance Association (AsianFA) 2017 Conference (Archive) Pub Date : 2017-03-01 DOI: 10.2139/ssrn.2842514
F. Lam, Chishen Wei, K. Wei
{"title":"Dissecting Arbitrage Costs","authors":"F. Lam, Chishen Wei, K. Wei","doi":"10.2139/ssrn.2842514","DOIUrl":"https://doi.org/10.2139/ssrn.2842514","url":null,"abstract":"We dissect the relative importance of nine commonly used measures of arbitrage costs on the extent of mispricing in the cross-section of stock returns. Using the relative valuation index developed in Stambaugh, Yu, and Yuan (2012) to measure mispricing, we find that arbitrage risk, measured using idiosyncratic risk, is the predominant limiting arbitrage cost. Information uncertainty and transactions costs are also important limiting factors to arbitrage, but only among small stocks. A principal components analysis shows that arbitrage costs can be reduced into two significant dimensions. Overall the evidence suggests that arbitrage costs explain much of the average returns associated with stock anomalies.","PeriodicalId":105821,"journal":{"name":"Asian Finance Association (AsianFA) 2017 Conference (Archive)","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126242150","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Disagreement with Herding, Market Bubble, and Excess Volatility 与羊群、市场泡沫和过度波动的分歧
Asian Finance Association (AsianFA) 2017 Conference (Archive) Pub Date : 2017-01-31 DOI: 10.2139/ssrn.2908943
S. Byun, H. Jung
{"title":"The Disagreement with Herding, Market Bubble, and Excess Volatility","authors":"S. Byun, H. Jung","doi":"10.2139/ssrn.2908943","DOIUrl":"https://doi.org/10.2139/ssrn.2908943","url":null,"abstract":"We construct a general equilibrium “disagreement with herding” model to identify the joint effect of the disagreement and herding among investors on the price bubble and excess return volatility. There are two classes of analysts one of which can capture the information in the public signal. An another analyst, on the other hand, do not have an enough ability to refine the public signal to exploit the information and therefore herd. i.e. tend to revise his opinion by moving toward the other’s opinion. As a consequence of the combinational dynamics of the disagreement and herding, the price bubble and the excess volatility is exaggerated especially when they are both huge.","PeriodicalId":105821,"journal":{"name":"Asian Finance Association (AsianFA) 2017 Conference (Archive)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123481390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Rational Mispricing with Unpredictable Demand Shocks 理性错误定价与不可预测的需求冲击
Asian Finance Association (AsianFA) 2017 Conference (Archive) Pub Date : 2017-01-30 DOI: 10.2139/ssrn.2910768
M. Hasan
{"title":"Rational Mispricing with Unpredictable Demand Shocks","authors":"M. Hasan","doi":"10.2139/ssrn.2910768","DOIUrl":"https://doi.org/10.2139/ssrn.2910768","url":null,"abstract":"Movements in prices depend both on innovations to cashflows and changes in investors' demands, which can be modelled as fluctuations in the cross-sectional distribution of wealth across a fixed set of investment objectives. This paper explores the risk that arises when investors do not have perfect information about the wealth distribution to accurately forecast demand shocks, and, as a result, cannot forecast prices accurately, despite having perfect information about cashflows. To take into account this risk, investors plan their consumption for all realisations of the wealth distribution that are possible according to their subjective beliefs about the wealth distribution. This makes markets highly incomplete, and derivative assets become non-redundant. Derivatives serve a dual purpose: they allow investors to adjust consumption for different realisations of the wealth distribution, and provide information required to implement optimal allocation decisions. Asset prices depend on the sensitivity of stochastic discount factor and assets' payoffs to the wealth distribution, creating differences in expected returns between assets that are unrelated to their cashflow risk. Prices of derivatives deviate from the expected cost of creating synthetic derivatives through dynamic trading, creating apparent mispricings between derivatives and primary assets. The imprecise information about the wealth distribution can also induce a demand for dynamic trading, leaving passive investment strategies no longer optimal. Our results also have implications for arbitrage activity, informational efficiency of prices, and the role of financial innovation.","PeriodicalId":105821,"journal":{"name":"Asian Finance Association (AsianFA) 2017 Conference (Archive)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127022225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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