Topic
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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01 Jan 2004TL;DR: The authors examined empirically the relation between trades and quote changes for stocks trades in order-driven market and found that the price impact of trades is positive and persistent, this means the information content of trades are substantial; large trades convey more information than small trades.
Abstract: This paper examine empirically the relation between trades and quote changes for stocks trades in order-driven marketEstimates for samples of Shanghai Stock Exchange and Shenzhen Stock Exchange issues suggest:the price impact of trades is positive and persistent,this means the information content of trades is substantial;Large trades convey more information than small trades;Information asymmetries are more significant for small firms
287 citations
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TL;DR: Reinganum et al. as discussed by the authors explored the effects of executive succession on the stock prices of firms that traded on the New York and American stock exchanges during 1978 and 1979.
Abstract: Marc R. Reinganum This research explores the effects of executive succession on the stock prices of firms that traded on the New York and American stock exchanges during 1978 and 1979. The empirical results suggest that predictions about succession effects must be tempered by the organizational context of the change. In particular, the data indicate that one must control for the size of the firm, the origin of the successor, and the disposition of the predecessor. Empirically, the effects of these variables-do not appear to be independent of each other. Rather, the succession effects seem to be dependent on the interaction among these variables. Significant, positive succession effects were found around the time of the announcement of a change, but only for external appointments in small firms in which the departure of the former officeholder was announced along with the appointment of the new executives
286 citations
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TL;DR: In this paper, the authors examined whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity and concluded that there is no gain in liquidity from delayed publication.
Abstract: This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/ 90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size relates more closely to market volatility than to speed of publication. There is therefore no gain in liquidity from delayed publication.
285 citations
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TL;DR: In this paper, the monitoring role of occupational pension funds in the UK is analyzed and it is shown that the value added by these funds is negligible and their holdings do not lead companies to comply with the Code of Best Practice or outperform their industry counterparts.
285 citations
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TL;DR: In this article, a noisy rational expectations model is used to analyze how competition in firms' product markets influence their behavior in equity markets, and whether product market imperfections spread to equity markets.
Abstract: How does competition in firms’ product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private information into stock prices and improves the allocation of capital. Several implications are derived and tested. HOW DOES COMPETITION in firms’ product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? These questions are increasingly of interest as product markets are becoming more competitive in many countries thanks to the relaxation of impediments to trade and barriers to entry. 1 In this paper, we analyze these questions using a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. The model is guided by recent empirical work showing that stock returns are affected by the intensity of product market competition. Gaspar and Massa (2005) and Irvine and Pontiff (2009) document that more competitive firms have more volatile idiosyncratic returns, and Hou and Robinson (2006) show that such firms earn higher risk-adjusted returns. The model is also guided by a direct examination of the data. Our starting point is the finding in Gaspar and Massa (2005) that analysts’ earnings forecasts about firms operating in more competitive industries are more dispersed. Since differences in opinions
285 citations