Showing papers in "Journal of Financial Markets in 2005"

TL;DR: In this article, the authors survey the literature analyzing the price formation and trading process, and the consequences of market organization for price discovery and welfare, and offer a synthesis of the theoretical microfoundations and empirical approaches.

TL;DR: In this article, the authors examined the effect of increased transparency on the Toronto Stock Exchange's limit order book on both the traditional floor and on its automated trading system and found that the increase in transparency reduces liquidity.

TL;DR: In this article, the authors apply recent econometric tests of stochastic dominance to examine an enduring puzzle in finance: the momentum effect in stock returns (J. Finance 48 (1993) 65).

TL;DR: The authors empirically examined the relative use of market versus limit orders by informed and liquidity traders early versus later in the trading day using detailed order and audit trail data from the NYSE and found that informed traders actually use market orders more often in the first half of the day than the second.

TL;DR: In this paper, the authors examine whether the limit order book is informative about future price changes and whether traders use this information when trading, and they find that traders in lower-priced stocks are less likely to initiate such actions because of the large relative tick size.

TL;DR: In this paper, the authors present a framework to model duration, volume and returns simultaneously, obtaining an econometric reduced form that incorporates causal and feedback effects among these variables, which is applied to two groups of stocks, classified according to trade intensity.

TL;DR: In this paper, the authors show that return and liquidity commonality are caused by different economic forces, and that it is possible for assets to have little return correlation but high liquidity commonality.

TL;DR: This article examined institutional trading costs around the move to penny size ticks in 2001 and found that overall trading costs declined, with improvements in most partitions across order size, firm size, and manager style.

TL;DR: In this paper, the authors investigated the price impacts of signed options volume with transactions data for options and futures on the German DAX index and concluded that futures traders react more quickly to information about the index and that they, not the options traders, provide price discovery in the DAX.

TL;DR: In this paper, the authors examined the clustering pattern in trade and quote prices on the electronic limit order book of the Stock Exchange of Hong Kong (SEHK) and found that the deeper quotes display stronger clustering than the best quotes, indicating that the farther away the quotes are from the best queue, the less information they carry.

TL;DR: In this paper, the authors developed and empirically implemented a stock valuation model, which makes three assumptions: (i) dividend equals a fixed fraction of net earnings-per-share plus noise, (ii) the economy's pricing kernel is consistent with the Vasicek term structure of interest rates, and (iii) the expected earnings growth rate follows a mean-reverting stochastic process.

TL;DR: This article used a panel of more than 100,000 investor accounts in US stocks over the period 1991-1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst-based measures used in the literature.

TL;DR: In this article, the SEC implemented a de minimis exemption to the trade-through rule for three active ETFs, allowing markets to execute trades at prices up to three cents worse than those posted elsewhere.

TL;DR: The authors developed a framework to investigate time-varying interactions between informed and uninformed trading activities, and demonstrated that the buy and sell arrival rates of the uninformed traders are different and time-warying.

TL;DR: In this article, the implications of trade reporting in a two-stage trade model similar to Journal of Financial Economics 14, 71, 100, have been studied, and it is shown that trade disclosure increases the informational efficiency of transaction prices and reduces volatility.

TL;DR: In this article, the authors examined 59 transfers from call auctions to continuous trade on the Warsaw Stock Exchange and found that the transferred stocks experienced an average excess return of about 13%, which can be partly explained by their significant liquidity improvements.