Primary Market Price Discovery of Syndicated Loans: Theory and Evidence

2018 ◽  
Author(s):  
Donghang Zhang ◽  
Yafei Zhang ◽  
Yijia Zhao
Keyword(s):  
Price Discovery ◽  
Market Price ◽  
Syndicated Loans

The effect of universal futures on opening and closing stock market price discovery

2011 ◽  
Vol 28 (4) ◽  
pp. 260-281
Author(s):  
Patricia L. Chelley‐Steeley ◽  
James M. Steeley
Keyword(s):  
Stock Market ◽  
Price Discovery ◽  
Market Price ◽  
Opening And Closing

An analysis of time-varying commodity market price discovery

2018 ◽  
Vol 57 ◽  
pp. 122-133 ◽  
Author(s):  
Paresh Kumar Narayan ◽  
Susan Sunila Sharma
Keyword(s):  
Price Discovery ◽  
Market Price ◽  
Commodity Market ◽  
Time Varying

scholarly journals Price Discovery of Consignment Auctions for Emission Permits

Energies ◽  
2021 ◽  
Vol 14 (21) ◽  
pp. 6985
Author(s):  
Jae-Do Song ◽  
Young-Hwan Ahn
Keyword(s):  
Price Discovery ◽  
Financial Burden ◽  
Simple Game ◽  
Market Price ◽  
Abatement Cost ◽  
Secondary Market ◽  
Marginal Abatement Cost ◽  
Analytical Models ◽  
Price Expectations ◽  
Explicit Consideration

A consignment auction aims to increase political feasibility by reducing the financial burden of initial permits allocation and to do the role of price discovery. However, previous analytical models presented contradictory results for the price discovery function of a consignment auction. Thus, this study reexamines whether a consignment auction can perform its price discovery function. The study uses a simple game model with several assumptions differentiated from previous analytical models: explicit consideration of the secondary market and firms as price-takers with various behaviors to respond to uncertainty about the price in the secondary market. Firms are classified into three types: speculators who seek arbitrage, doctrinarians who determine a permit demand based on an estimation of their marginal abatement cost, and neutralists who keep a permit demand the same as initial emission endowments. The results reveal that when a consignment auction was introduced, the expected equilibrium price was identical to that of the secondary market price, demonstrating that the auction could deliver the price discovery function. This is because speculators and doctrinarians provide information about their price expectations and marginal abatement cost through their estimated demand functions. Additionally, the smaller number of neutralists is, and the higher the risk-seeking propensity of speculators is, the more effective the price discovery function is.

scholarly journals Active Funds and Bundled News

2021 ◽  
Author(s):  
Charles M. C. Lee ◽  
Christina Zhu
Keyword(s):  
Price Discovery ◽  
Market Price ◽  
Earnings Announcements ◽  
Price Adjustment ◽  
Level Data ◽  
Managed Funds

We use trade-level data to examine the role of actively managed funds (AMFs) in earnings news dissemination. We find AMFs are drawn to, and participate disproportionately more in, earnings announcements (EAs) that include bundled managerial guidance. When the two pieces of news are directionally inconsistent, AMFs trade in the direction of future guidance rather than current earnings. AMFs exhibit an ability to discern, and adapt their trading to, the bias in bundled guidance. While AMF trades at EAs are generally more profitable than their non-EA trades, this result reverses when guidance bias is extreme. Overall, we find increased AMF trading during EAs leads to faster price adjustment. Collectively, these findings suggest AMFs are sophisticated processors of bundled earnings news, and their trading generally improves market price discovery.

scholarly journals Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments

2017 ◽  
Vol 9 (4) ◽  
pp. 1-41 ◽  
Author(s):  
Charles R. Plott ◽  
Kirill Pogorelskiy
Keyword(s):  
Price Discovery ◽  
Competitive Equilibrium ◽  
Market Price ◽  
Price Formation ◽  
Order Book ◽  
Call Markets ◽  
Multiple Unit ◽  
Market Experiments ◽  
Raphson Method ◽  
Call Market

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled “call.” The markets are independent trading “days” with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the “jaws” of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery. (JEL C92, D41, D44, G14)

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