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Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.


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Journal ArticleDOI
TL;DR: In this paper, a model of stock price reactions to partially anticipated events is presented, which formalizes the intuition that stock prices reflect both the economic importance of events and the extent to which events are surprises, and is used to estimate the value of acquisition attempts made by frequently acquiring firms.

314 citations

Journal ArticleDOI
TL;DR: In this article, the authors consider the degree to which the five stock markets in the original ASEAN countries (ASEAN-5) are correlated as a way to assess the feasibility of stock market integration and the implications for portfolio investors.

313 citations

Journal ArticleDOI
TL;DR: In this paper, the authors show that proper and prompt analysis of data on insider trading can be profitable, although almost all earlier academic work has reached the contrary conclusion, and they conclude that there is no evidence of profitable exploitation of insiders' special knowledge and no value to outsiders in data on trading by insiders.
Abstract: CI NSIDERS" are officers, directors, and owners of ten per cent or more of the common stock of the companies listed on the New York and American Stock Exchanges. The Securities and Exchange Commission (the SEC) requires that insiders keep the Commission informed regarding transactions in the common stock and convertible securities of the respective companies. The interest of the SEC in trading by insiders stems in part from the belief that insiders should not exploit their special opportunities to know about developments in their companies for personal profit through short-term trading. Further, the Commission feels that information on trading by insiders should be fully disclosed to the investing public because of light which such trading might cast upon the company's future prospects. There is also wide-spread interest in the investment community in trading by insiders because of the prevalent belief that insiders have valuable private information which bears upon their company's prospects and that knowledge of the trading by insiders will permit valid inferences regarding future movements in the prices of stocks. Because of the interest by the SEC and the investment community in insider trading, we have undertaken this study. The subject has been studied before in many ways, but none of the preceding studies has been definitive and the additional methods of analysis seemed promising. Opinions are somewhat polarized. Academic studies have found virtually no evidence of profitable exploitation by insiders of their special knowledge and no value to outsiders in data on trading by insiders. Others believe that insiders often make extraordinary profits and that knowledge of their trading is valuable. Both the SEC and investors should be interested in which opinion is correct. The methods and coverage of this study differ from those of earlier work, as do our conclusions. We show that proper and prompt analysis of data on insider trading can be profitable, although almost all earlier academic work has reached the contrary conclusion. The first

312 citations

Journal ArticleDOI
TL;DR: In this paper, the authors developed a measure of execution costs (market impact) of transactions on the NYSE, which is the volume-weighted average price over the trading day, and applied this measure to a data set containing more than 14,000 actual trades.
Abstract: This paper develops a measure of execution costs (market impact) of transactions on the NYSE. The measure is the volume-weighted average price over the trading day. It yields results that are less biased than measures that use single prices, such as closes. The paper then applies this measure to a data set containing more than 14,000 actual trades. We show that total transaction costs, commission plus market impact costs, average twenty-three basis points of principal value for our sample. Commission costs, averaging eighteen basis points, are considerably higher than execution costs, which average five basis points. They vary slightly across brokers and significantly across money managers. Though brokers do not incur consistently high or low transaction costs, money managers experience persistently high or lost costs. Finally, the paper explores the possible tradeoff between commission expenditures and market impact costs. Paying higher commissions does not yield commensurately lower execution costs, even after adjusting for trade difficulty. We cannot determine whether other valuable brokerage services are being purchased with higher commission payments or whether some money managers really are inefficient consumers of brokerage trading services. RECENT YEARS HAVE WITNESSED an explosion of institutional trading on the nation's stock exchanges. In 1970, only 17,000 trades of blocks of 10,000 or more shares were done on the New York Stock Exchange; these accounted for merely fifteen percent of total volume. In 1984, there were 433,000 such block trades, accounting for fifty percent of volume. These trades are costly and, in an informationally efficient stock market, cannot help but have a deleterious effect on the investment performance of institutional investors.

309 citations

Journal ArticleDOI
TL;DR: In this paper, the determinants of the capital structure for a panel of Swiss companies listed in the Swiss stock exchange were analyzed for the period 1991-2000, and it was found that the size of companies and the importance of tangible assets are positively related to leverage, while growth and profitability are negatively associated with leverage.
Abstract: In this paper, we analyse the determinants of the capital structure for a panel of 104 Swiss companies listed in the Swiss stock exchange. Dynamic tests are performed for the period 1991–2000. It is found that the size of companies and the importance of tangible assets are positively related to leverage, while growth and profitability are negatively associated with leverage. The sign of these relations suggest that both the pecking order and trade-off theories are at work in explaining the capital structure of Swiss companies, although more evidence exists to validate the latter theory. Our analysis also shows that Swiss firms adjust toward a target debt ratio, but the adjustment process is much slower than in most other countries. It is argued that reasons for this can be found in the institutional context.

308 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20232,414
20225,944
20211,840
20202,645
20192,535
20182,413