Showing papers on "Nominal size published in 1998"
TL;DR: This article showed that no evidence against the random walk null can be found in panels of up to 64 real exchange rates, which cannot be attributed to low power, as there is ample power in panels with this size to reject the unit-root null.
1,235 citations
TL;DR: The proposed method, which extends McNemar's test to the case where the observations are sampled in clusters, is a good alternative to Eliasziw and Donner's test when, in practice, little is known about the correlation pattern of the data.
Abstract: McNemar's test is often used to compare two proportions estimated from paired observations. We propose a method extending this to the case where the observations are sampled in clusters. The proposed method is simple to implement and makes no assumptions about the correlation structure. We conducted a Monte Carlo simulation study to compare the size and power of the proposed method with a test developed earlier by Eliasziw and Donner. In the presence of intracluster correlation, the size of McNemar's test can greatly exceed the nominal level. The size of Eliasziw and Donner's test is also inflated for some correlation patterns. The proposed method, on the other hand, is close to the nominal size for a variety of correlation patterns, although it is slightly less powerful than Eliasziw and Donner's procedure. The proposed method is a good alternative to Eliasziw and Donner's test when, in practice, little is known about the correlation pattern of the data.
161 citations
Abstract: Recent tests using long data series find evidence in favor of long-run PPP. These tests may have reached the wrong conclusion. Using artificial data calibrated to nominal exchange rates and disaggregated data on prices, we show that tests on long-run PPP have serious size biases. In the baseline case, unit root and cointegration tests with a nominal size of five per cent have true sizes that range from 0.90 to 0.99 in 100-year long data series, even though there is a permanent component that accounts for 42% of the 100-year forecast variance of the real exchange rate. Tests of stationarity are shown to have very low power in the same circumstances.
129 citations
Posted Content•
TL;DR: In this paper, the relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. But, the adverse selection component increases uniformly with trade size and order processing costs decrease with increases in trade size.
Abstract: The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the largest trades. We find that order persistence decreases with trade size. The adverse selection component is the highest at the beginning and lowest at the end of the day for all but the largest trades. Trades of NYSE firms executed on regional exchanges or Nasdaq contain a large order processing cost component but no significant adverse information effect.
90 citations
Posted Content•
TL;DR: In this paper, the authors use a simultaneous equations approach motivated by theoretical analysis to test the assumption that investors trade strategically, taking account of the effect of their trades on prices, and find that average trade size is positively related to return volatility, the standard deviation of trading volume, and the proportion of shares held by institutional investors.
Abstract: A central, but largely untested, assumption in the modern literature on financial markets is that investors trade strategically, taking account of the effect of their trades on prices. We use a simultaneous equations approach motivated by theoretical analysis to test this assumption empirically. The results point to a strong and negative cross-sectional relation between the average trade size and estimated fixed and variable costs of transacting per share, consistent with strategic trading. We also find that average trade size is positively related to return volatility, the standard deviation of trading volume, and the proportion of shares held by institutional investors.
79 citations
TL;DR: In this article, the authors use a simultaneous equations approach motivated by theoretical analysis to test this assumption empirically and find a strong and negative cross-sectional relation between the average trade size and estimated fixed and variable costs of transacting per share.
Abstract: A central, but largely untested, assumption in the modern literature on financial markets is that investors trade strategically, taking account of the effect of their trades on prices. The authors use a simultaneous equations approach motivated by theoretical analysis to test this assumption empirically. The results point to a strong and negative cross-sectional relation between the average trade size and estimated fixed and variable costs of transacting per share, consistent with strategic trading. The authors also find that average trade size is positively related to return volatility, the standard deviation of trading volume, and the proportion of shares held by institutional investors. Copyright 1998 by University of Chicago Press.
71 citations
Patent•
10 Feb 1998TL;DR: In this article, an article of manufacture includes a medium (710) having a plurality of checkerboard patches (720) recorded thereon, each of the patches is of equal nominal tint and formed of dots (510).
Abstract: An article of manufacture includes a medium (710) having a plurality of checkerboard patches (720) recorded thereon. Each of the patches is of equal nominal tint and formed of dots (510). The dots of each of the patches are of equal nominal size with the size being different from that of the dots forming all other patches. One of the patches is arranged adjacent to all other patches.
5 citations