ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)最新文献_第8页

What makes HFTs tick? Tick size changes and information advantage in a market with fast and slow traders 高频交易的原因是什么?在一个有快速和缓慢交易者的市场中，交易量变化和信息优势

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-21 DOI: 10.2139/ssrn.3407970

A. Chaboud, Avery Dao, Clara Vega

引用次数: 5

The Folk Theorem for Repeated Games With Time-Dependent Discounting 具有时间相关折现的重复博弈的民间定理

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-20 DOI: 10.2139/ssrn.3407197

Daehyun Kim, Xiaoxi Li

引用次数: 0

Implications of Partial Information for Econometric Modeling of Macroeconomic Systems 部分信息对宏观经济系统计量经济建模的影响

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-17 DOI: 10.2139/ssrn.3407045

A. Pagan, Tim Robinson

引用次数: 3

The Determinants of Securities Trading Activity: Evidence from Four European Equity Markets 证券交易活动的决定因素:来自四个欧洲股票市场的证据

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-12 DOI: 10.2139/ssrn.3423343

S. Camilleri, Francelle Galea

{"title":"The Determinants of Securities Trading Activity: Evidence from Four European Equity Markets","authors":"S. Camilleri, Francelle Galea","doi":"10.2139/ssrn.3423343","DOIUrl":"https://doi.org/10.2139/ssrn.3423343","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones.\u0000\u0000\u0000Design/methodology/approach\u0000The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework.\u0000\u0000\u0000Findings\u0000The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter.\u0000\u0000\u0000Research limitations/implications\u0000The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research.\u0000\u0000\u0000Practical implications\u0000This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level.\u0000\u0000\u0000Originality/value\u0000The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.\u0000","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75319148","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

Distributive Justice for Behavioral Welfare Economics 行为福利经济学中的分配正义

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-01 DOI: 10.2139/ssrn.2892804

Michael Mandler

引用次数: 1

Some Observations on Trend Following: A Binomial Perspective 关于趋势跟踪的一些观察:二项式视角

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-06-01 DOI: 10.2139/ssrn.3397783

D. Modest

{"title":"Some Observations on Trend Following: A Binomial Perspective","authors":"D. Modest","doi":"10.2139/ssrn.3397783","DOIUrl":"https://doi.org/10.2139/ssrn.3397783","url":null,"abstract":"This paper uses a simple binomial framework to explore trend following. It shows (by counter example) that the existence of positive profits from trend-following strategies, on its own, provides no prima facie evidence on the efficiency or inefficiency of markets. In addition, it explores the most important feature of time series momentum investment strategies: the return shaping impact of trend following through its dynamic positioning. In a stylized efficient market setting (with no transaction costs), the paper shows that the dynamic nature of trend following shapes when profits and losses occur compared to a buy-and-hold strategy. There is, however, a conservation of “mass” in that gains and losses are shuffled across periods such that the unconditional distribution of profits is unaffected. In this sense, trend following, by construction, generates crisis alpha --- for crises where large losses occur over extended periods of time. Due to its ability to shape when profit and losses occur, trend following can provide significant portfolio diversification and hedging potential for those investors with strategic risk-on exposures.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"52 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73961666","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

Does the Delay in Firm-Specific Information Cause Momentum? 企业特定信息的延迟会导致动量吗?

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-05-31 DOI: 10.2139/ssrn.3576112

Bharat Raj Parajuli

引用次数: 0

The Effects of Short Selling Mechanism on Corporate Cash Holding – Evidence in China 卖空机制对企业现金持有量的影响——来自中国的证据

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-05-29 DOI: 10.2139/ssrn.3511113

Crystal Xiaobei Chen, Q. He

引用次数: 0

Trading Strategy for Bear Markets 熊市的交易策略

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-05-21 DOI: 10.2139/ssrn.3507947

Matúš Padyšák, Radovan Vojtko

{"title":"Trading Strategy for Bear Markets","authors":"Matúš Padyšák, Radovan Vojtko","doi":"10.2139/ssrn.3507947","DOIUrl":"https://doi.org/10.2139/ssrn.3507947","url":null,"abstract":"This paper aims to find a strategy that would work even during bear markets. Such approach should be profitable even when the equity markets are down and could be used as a hedge during those bad times. Common sense suggests that maybe some different asset classes could be used for such purpose. Therefore this paper examines the relationship between prices and skewness of commodities from the practitioner's point of view, where such idea is based on something similar in the world of equities, the Lottery effect in the stocks. Individual investors tend to prefer stocks with lottery-like payoffs in the search for the as high profits as it is possible, and they are willing to play the equity lottery. Unfortunately, in the lotteries, there is a small number of winners, a large number of losers, and one happy lottery ticket issuer that has profited from it. Studies have found out that stocks with lottery-like payoffs have negative abnormal returns if they are compared to the stocks with non-lottery-like payoffs. The same results are found in the world of commodities, where the lottery-like characteristics can be measured by skewness. Most importantly, such a strategy consisting of going long four commodities with the lowest skewness and shorting four commodities with the highest skewness is profitable and negatively correlated with the equity market. It also survives various trading assumptions and trading costs, while remaining profitable.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"51 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91501905","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: 1

Informational Efficiency in Securitization After Dodd-Frank 多德-弗兰克法案后证券化的信息效率

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-05-21 DOI: 10.2139/ssrn.3278424

Sean Flynn, Andra Ghent, Alexei Tchistyi

引用次数: 12