Showing papers in "Journal of Financial Markets in 1999"

TL;DR: In this article, a game theoretic model of price formation and order placement decisions in a dynamic limit order market is provided, where investors can choose to either post limit orders or submit market orders.

TL;DR: In this article, the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes is analyzed based on a neural network model, which suggests that the assumption of a linear impact of orders on prices is highly questionable.

TL;DR: In this paper, the authors present a study of intra-day patterns of stock market activity and introduce duration based activity measures for single stocks and multiple assets, i.e., times necessary to sell (buy) a predetermined volume or value of stocks.

TL;DR: In this article, the authors argue that the moral of the story is important in practice and illustrate this result using a parable and argue that attribute-sorted portfolios of common stocks are useful risk factors, even when the attributes are completely unrelated to risk.

TL;DR: In this article, the relationship of stock market returns with components of aggregate equity mutual fund flows (new sales, redemptions, exchanges-in, and exchanges-out) is examined.

TL;DR: In this paper, the authors present theory and evidence regarding the organization of financial exchange markets and derive conditions under which a member-owned exchange has a monopoly over the trade of a particular financial contract and its close substitutes, and exchange members earn economic rents.

TL;DR: In this article, the authors examine a two-period model of investment management and show that adoption of a performance fee mitigates undesirable reputation effects and results in superior ex ante payoffs to investors.

TL;DR: This paper proposed a dynamic model of bid and ask quotes that incorporates a stochastic cost of market-making, discreteness (restriction of quotes to a fixed grid) and clustering.

TL;DR: In this paper, Chen et al. proposed a framework to find the best linear combinations of economic variables that optimally forecast security factors, and obtained a new GMM test for the APT which is more robust than existing tests.

TL;DR: This article examined the direction and timing of the flow of information between CBOE call options and the underlying NYSE stocks using a new methodology that avoids potential biases that can be introduced by using fixed-length time intervals.

TL;DR: In this paper, the authors model a realistic market composed of traders who combine their own private information with rational learning about the information possessed by others, and compare phenomena in this market with an otherwise identical market populated by traders who receive the same private information but ignore other traders.

TL;DR: In this paper, the authors explain how the actions of skeptical traders can make manipulable earnings reports informative, and provide foundations for treating positive and negative earnings surprises as good news and bad news respectively.

TL;DR: In this article, the authors reexamine the information content of mutual fund investment objectives to learn whether investors can use them to infer risk, and they reach a generally different conclusion about within-objective class fund risk.

TL;DR: There are many possible explanations for variation in the inside bid-ask spread during the trading day, including informed trading, price inelastic market demand, price discovery, statistical artefact and market concentration as mentioned in this paper.

TL;DR: In this article, the authors replace the irrational noise traders with a sequence of rational, risk-averse, liquidity traders who receive endowment shocks to their holdings of the risky asset, and demonstrate that unless liquidity traders are sufficiently risk averse, the slope of equilibrium price schedule rises over time, while informed trading intensities fall.

TL;DR: In this paper, the authors study the effect of recognizing trading costs on the choices of informed traders and the resulting statistical properties of security prices and show that stocks with intermediate β's have the least informative prices.