Decimal Pricing and Information-Based Trading: Tick Size and Informational Efficiency of Asset Price

2005 ◽  
Author(s):  
Xin Zhao ◽  
Kee H. Chung
Keyword(s):  
Asset Price ◽  
Informational Efficiency ◽  
Tick Size

Dark Pool Trading and Information Acquisition

2021 ◽  
Author(s):  
Jonathan Brogaard ◽  
Jing Pan
Keyword(s):  
Information Acquisition ◽  
Stock Price ◽  
Earnings Announcements ◽  
Algorithmic Trading ◽  
Price Dynamics ◽  
Pilot Program ◽  
Informational Efficiency ◽  
Tick Size ◽  
Dark Pool ◽  
Dark Pools

Abstract Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission’s (SEC’s) Tick Size Pilot Program. The results cannot be explained by lit venue liquidity, algorithmic trading, or informational efficiency. A battery of additional tests, such as documenting a shift in SEC EDGAR searches, supports the information acquisition interpretation.

The Micro and Macro of Managerial Beliefs

2020 ◽  
Author(s):  
Jose Maria Barrero
Keyword(s):  
Rational Expectations ◽  
Asset Price ◽  
Heterogeneous Firms ◽  
Adjustment Costs ◽  
Consumer Welfare ◽  
Sales Growth ◽  
Firm Level ◽  
Managerial Decisions ◽  
Managerial Beliefs ◽  
Growth Volatility

This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not over-optimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise (overconfident): they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quantify the implications of these facts, I estimate a dynamic general equilibrium model in which managers of heterogeneous firms use a subjective beliefs process to make forward-looking hiring decisions. Overprecision and overextrapolation lead managers to overreact to firm-level shocks and overspend on adjustment costs, destroying 2.1 percent of the typical firm’s value. Pervasive overreaction leads to excess volatility and reallocation, lowering consumer welfare by 0.5 to 2.3 percent relative to the rational expectations equilibrium. These findings suggest overreaction may amplify asset-price and business cycle fluctuations.

Fifty years of UK asset price volatility

2000 ◽  
Vol 2 (3) ◽  
pp. 63-77 ◽  
Author(s):  
Nicola Anderson ◽  
Francis Breedon
Keyword(s):  
Asset Price ◽  
Price Volatility

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

2008 ◽  
Author(s):  
Lynn Doran ◽  
Michael A. Goldstein ◽  
Evgenia V. Golubeva ◽  
Eric N. Hughson
Keyword(s):  
Adverse Selection ◽  
Serial Correlation ◽  
Tick Size
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