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.
Results
Showing 1 to 20 of 47 for “"price impact"”.
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Limit order markets, liquidity, and price impact
… market liquidity and analyze its effect on asset prices. First, in a model of a limit order market I explain how to define liquidity and derive a price impact function. Second, I show how agents who have price impact generate a liquidity component in asset prices. In Part I, I propose a …
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Leaving California: The Price Impact of Announcing a Headquarters Relocation
… a headquarters relocation on a firm's stock price. Using traditional event study methodology, I analyze over 400 move announcements from 2004-2024 to find a positive abnormal return in the short run when firms announce that they are moving their headquarters. There is a pronounced impact on …
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CO₂ price impact on Dell's supply chain : a framework for carbon footprint economic analysis
… account for the highly likely scenario of a CO2 price policy (cap-and-trade or tax) with regard to Dell's product and supply chain. Dell will use the cost implications of total carbon footprint for the supply chain in a strategic design of manufacturing and fulfillment networks. A carbon …
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A study of stock market liquidity from 1973 to 2015
… period of 1973 to 2015 from three perspectives: price impact, turnover ratio, and trading frequency. We use the Center for Research in Security Prices (CRSP) and Trade and Quotes (TAQ) databases to acquire stock data across different time spans to perform analysis across different time horizons, …
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Essays on trades and security prices
… the complex relation between security prices and trades of market participants. In the first chapter, I study the evolution of stock prices after trades with different underlying motives using a novel data set of portfolio transitions. Institutional specifics allow me to identify …
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Three essays in empirical derivatives
… when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, …
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Limits to Arbitrage and Commodity Index Investment
… decade has caused a heated debate regarding its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets and shows that the price impact due to this rolling activity …
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A reinforcement learning algorithm for efficient dynamic trading execution in the presence of signals
… trading period, considering that trading impacts the future trajectory of prices. I propose a reinforcement learning (RL) algorithm to solve this maximization problem. I prove that the algorithm converges to the optimal solution in a large class of settings and point out a useful duality …
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Two Essays on the Probability of Informed Trading
… of insider trading and with measures of the price impact of trades (ë) estimated based on the models of Glosten and Harris (1988), Madhavan and Smidt (1991) and Foster and Viswanathan (1993). In contrast, the alternative measure of the probability of informed trading (PIN) developed by …
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Two Essays on Ownership and Market Characteristics
… on market characteristics such as order flow, price impact of trade, quoted spread and quoted depth. For each market characteristic examined, I establish an empirical model based on existing theories and empirical evidence. My results indicate that stocks with greater inside ownership have …
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Essays on the impact of institutional investors on market efficiency and corporate policies
… informational advantage will be low due to the price impact of trading when there is a relatively large population of local agents who trade on similar private information. Consistent with this hypothesis, I find that funds do earn superior returns on local stocks for which local capital is …
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The impact on share prices of reporting financial targets and constraints
This thesis examines the impact on share prices of voluntary reporting of financial targets and constraints, particularly the target rate of return, target dividend payout ratio and target debt ratio. Hypotheses developed about of this reporting are that a positive impact on in estimation risk the …
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Essays on the relation between stock price movements and orders
… submitted (or the trades they generate) and price changes over time. The second chapter provides descriptive evidence of the order flow in the French stock market. I define a rigorous measure of order flow imbalance based on limit order data. This imbalance is positively autocorrelated as …
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Dynamic trading and manipulation in financial markets
… subprime mortgage crisis. Chapter 2 investigates price manipulation in general equilibrium with the only market imperfection being the presence of a non-competitive large trader. We propose the notion of "pure manipulation", in which the large trader manipulates security prices to improve-her …
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The Economics Of Gasoline Regulation: Price Impacts And Consumer Costs Of Environmental Air Quality Programs
This research examines economic impacts of two gasoline regulations designed to combat tropospheric ozone pollution. I construct several fixed effects econometric models to assess impacts of reformulated gasoline and low volatility gasoline on retail gasoline prices and consumer costs. I estimate …
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Index revisions, market quality and the cost of equity capital.
This thesis examines the impact of FTSE 100 index revisions on the various aspects of stock market quality and the cost of equity capital. Our study spans over the period 1986¿2009. Our analyses indicate that the index membership enhances all aspects of liquidity, including trading continuity, …
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Three essays in finance
… an alternative explanation for the anomaly of a price gap between two fundamentally identical securities. Strategic arbitrageurs, taking into account their price impact, do not close the price gap. This gap makes investors who trade with the strategic arbitrageur less willing to invest in risky …
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Does Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Prices
… herding has a stabilizing effect on stock prices, as stock returns are positively correlated with herding over one- to three-quarter horizons. The literature also shows that short-term institutions are better informed than long-term institutions. Motivated by heterogeneity in the level of …
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Essays on the relations between derivatives and underlying asset or commodity markets
… of three essays. The first essay analyzes the impact of option trading on stock price efficiency around the expirations of IPO lockup agreements. It is well documented that IPO stock prices decline around lockup expirations, without reversals. Investors can exploit these price declines either …
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A thesis on algorithmic trading
… financial industry in the past decade. While the impacts are significant, the microstructure of algorithmic trading remains unknown.By using Diff-in-Diff analysis, this paper shows that for low price securities, algorithmic trading activities are more active than high price securities. Besides, …
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