Showing papers in "Journal of Financial Markets in 2002"

TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.

TL;DR: In this paper, the authors examined the relationship between the Hasbrouck (J. Bus. Econ. Stat. 13 (1995) 27) and Gonzalo and Granger (G. Granger) common factor models and provided different views of the price discovery process between markets.

TL;DR: In this paper, the authors employ reduced-rank regressions and QGG test statistic to analyze the common factor weight attributable to three informationally-linked exchanges for DJIA stocks over 1988-1995.

TL;DR: In this article, an overview of econometric approaches to characterizing the random-walk component in single and multiple-price settings is presented, and established techniques of random walk decomposition provide useful characterizations of randomwalk properties and informational attributions.

TL;DR: In this paper, the relation between two competing definitions of the contribution to price discovery in market microstructure models: (i) the information share and (ii) the common factor component weight was clarified.

TL;DR: In this paper, the authors studied market integration for Dutch stocks cross-listed at the NYSE and found that price discovery on both sides of the Atlantic reflects the same underlying, new information.

TL;DR: In this paper, the existence of price clustering in the foreign exchange spot market for the German mark, the Japanese yen, the United Kingdom pound, the French franc, the Italian lira, and the Swedish krona was examined.

TL;DR: This article found that European and East Asian countries were not susceptible to volatility contagion in the pre-crisis era but that susceptibility increased significantly with the onset of the crisis and that the observed decline in diversification potency in Asia is reason enough for large declines in asset values.

TL;DR: In this paper, the authors analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure that combines the two, and show that when the order flow has a linear hazard ratio, the limit order book is preferred by risk neutral customers.

TL;DR: In this article, the authors show that Gonzalo and Granger's (J. Business Economist. 13 (1995) 1) procedure for estimating and testing common factor components recovers the true information structure in a wide range of financial market microstructure models.

TL;DR: In this article, a static optimal execution strategy of a basket trade was derived, in which the optimal execution strategies can be calculated by an iteration of a single variable optimization, rather than by a multivariable optimization.

TL;DR: In this article, a continuous time version of Holden and Subrahmanyam (1994) 181) was introduced by introducing risk aversion on the side of the monopolist informed trader and allowing for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock.

TL;DR: In this article, the authors present a market microstructure model of stock splits in the presence of minimum tick size rules, where discretionary trading is endogenously determined and there exists a tradeoff between adverse selection costs on the one hand and discreteness related costs and opportunity costs of monitoring the market.

TL;DR: The authors modify the price benchmark used to determine whether an order is price improved by making the benchmark a function of the order's size relative to the quoted depth, and show that the difference depends on trading volume, stock price, and volatility.

TL;DR: This article examined the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies and found that there is little systematic difference in market impact between reserve-draining and reserve-addressing operations.

TL;DR: In this paper, the authors develop a model of strategic trading where speculators face such a dilemma because of incomplete information about time-varying market liquidity, and they have to learn about liquidity from past prices and trading volume.

TL;DR: In this article, the authors analyzed how tick size affects quote revisions on the NYSE and whether pre-decimalization tick sizes were binding constraints on specialists' spread and price-quote decisions.