Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 29 for “"Bid-ask spreads"”.
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The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options
… of equity options leads to lower bid-ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads. A model of the determinants of the bid-ask spread was formulated. Separate …
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What insight do market participants gain from dividend increases?
… impact of dividend increases on stock prices and bid-ask spreads. The agency abatement hypothesis argues that increased dividends constrict management's future behavior, abating the agency problem with shareholders. The signaling hypothesis asserts that dividend increases signal that managers …
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Disaggregated financial statement information in an unregulated environment
… and outside investors. Disaggregators had lower bid-ask spreads and short sellers paid lower loan fees for borrowing disaggregators' stocks. In addition, disaggregators were more likely to raise capital in the following year. These results are consistent with firms using high-quality financial …
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Market Microstructure for a Portfolio of Dividend Paying Firms around Ex-Dividend Days
… FTSE 100 stocks. Specifically, the first essay asks whether bid-ask spreads, price volatility and order submission strategies change as stocks transition to the ex-dividend day. From the results there is evidence of the presence of both tax- arbitrageurs and liquidity suppliers around …
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Market making in dry waters : reinforcement learning strategies for market making in illiquid markets
… characterized by higher volatility, wider bid-ask spreads, fewer trades, and higher risks of adverse selection. The results contribute to the growing field of RL in financial markets by showing how these algorithms can be adapted to improve market making in challenging environments. The …
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No-arbitrage bounds on American Put Options with a single maturity
… that we obtain compares well with the quoted bid-ask spreads in most cases.
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Financial distress, dealers' behavior and asset pricing in the foreign exchange market
… for its financial wealth, makes her quote larger bid-ask spreads when uncertainty about the underlying traded asset is high or when market competition is low. I first establish that markets are dominated by a handful of dealers who are responsible for more than 90% of the quotes in the different …
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IFRS adoption and enforcement and their effects on accounting quality and capital markets: evidence from South Africa
… and returns models), and a liquidity proxy, bid- ask-spread, to measure accounting quality and capital market effects across three periods: SA GAAP period (2001-2004), IFRS only period (2007-2010), and IFRS with enforcement period (2012-2022). The study uses a balanced sample of 87 firms …
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
… paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use …
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Three Essays On Bond Trading
… we find that listed corporate bonds have lower bid-ask spreads than unlisted corporate bonds. We specifically show that listed bond spreads are $0.14 lower than unlisted bond spreads. We find that execution venue matters for listed bonds, and that listed bond trades that execute on the NYSE have …
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Three Essays on Price Discovery, Stock Liquidity, and Crash Risk
… have higher liquidity, as reflected by lower bid-ask spreads. This result persists after the inclusion of additional controls, such as governance metrics, and further sensitivity and endogeneity analyses. Subsample tests indicate that the impact of religiosity on stock liquidity is …
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Order Execution Quality in Equity Options Markets
… activity is associated with lower effective spreads and higher order fill rates. We also find that differences in trading venues and option characteristics are important determinants of order cancellations in options markets. Overall, our results suggest that reducing excessive order …
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Prices, Trading Activity, And Market Quality In The Modern Otc Marketplace
… interest does not lead to an improvement in bid-ask spreads for these securities relative to non-penny OTC securities. I also find that penny stocks designated to higher information tiers are more liquid than penny stocks designated to lower information tiers. Lastly, in Part 3, I examine …
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An econometric analysis of the forward freight market
… seems to be a positive relationship between bid-ask spreads and expected price volatility in most FFA trading routes. Finally, in the routes where the cointegrating vector is restricted to be the lagged basis, the VECM generates more accurate forecasts than the VAR model and in the routes …
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The high–low spread estimator is not well–behaved in commodity markets
… series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from …
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The Chinese equity market : characteristics, microstructure and efficiency
… study documents the intraday variation in bid-ask spreads, trading volumes and volatility. The findings suggest that the existence of the intraday anomalies is not due to the peculiarities of the US markets. However, the shape of the intraday patterns in order-driven markets is different …
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Essays on Liquidity Risk and Asset Pricing
… by the microstructure biases embodied by bid-ask spreads and the percentage of zero returns. I document a positive relation between FIVOL and expected returns. However, contrary to the models in the existing literature (such as Merton (1987)), I find that the cross-sectional differences in …
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El paradigma de la microestructura : una aplicación al mercado cambiario argentino
… cinco hipótesis sobre el comportamiento de los bid-ask spreads, la volatilidad, el volumen operado y el flujo de información del mercado durante los dos períodos de estudio utilizando una base de datos diaria provista por el BCRA para el período del cepo cambiario, comprendido entre el 4 de mayo …
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The impact of international cross-listing on the cost of capital
… conduct a public offerings in the US have lower bid-ask spreads than private placements. Our sample consists of 231 international equity offerings from 33 countries world-wide; 86 companies conducted a public offering on NYSE or NASDAQ, and 145 companies raised capital in the private placement …
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Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice
… choosing simultaneously quantities to buy at the bid and to sell at the ask and accordingly market clears separately at the bid and at the ask. Equilibrium bid and ask prices, bid and ask depths, trading volume and market makers' inventory levels are all derived in closed-form. Our model can help …
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