Three Essays On Trading Behavior
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Three Essays On Trading Behavior
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Author : Adam Daniel Clark-Joseph
language : en
Publisher:
Release Date : 2013
Three Essays On Trading Behavior written by Adam Daniel Clark-Joseph and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Three Essays On The Trading Behavior Of Market Participants
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Author : Orkunt Mesut Dalgic
language : en
Publisher:
Release Date : 2003
Three Essays On The Trading Behavior Of Market Participants written by Orkunt Mesut Dalgic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Investments categories.
Three Essays On Market Structure And Trading Behavior
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Author : Hao-Chen Liu
language : en
Publisher:
Release Date : 2007
Three Essays On Market Structure And Trading Behavior written by Hao-Chen Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays On Asset Price And Trading Behavior
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Author : Jiaqi Jin
language : en
Publisher:
Release Date : 2015
Three Essays On Asset Price And Trading Behavior written by Jiaqi Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Three Essays On High Frequency Financial Econometrics And Individual Trading Behavior
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Author :
language : en
Publisher:
Release Date : 2008
Three Essays On High Frequency Financial Econometrics And Individual Trading Behavior written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Three Essays On Structured Financial Products Investors Trading Behavior And Issuers Dynamic Hedging
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Author : Georg Christoph Fischer
language : de
Publisher:
Release Date : 2018
Three Essays On Structured Financial Products Investors Trading Behavior And Issuers Dynamic Hedging written by Georg Christoph Fischer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Towards A Better Understanding Of Liquidity Trading Behavior And Stock Returns
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Author : Wenjin Kang
language : en
Publisher:
Release Date : 2004
Towards A Better Understanding Of Liquidity Trading Behavior And Stock Returns written by Wenjin Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Capital market categories.
Three Essays On The Behavior Of Financial Market Participants
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Author : Andrea Rossi (Ph. D. in finance)
language : en
Publisher:
Release Date : 2018
Three Essays On The Behavior Of Financial Market Participants written by Andrea Rossi (Ph. D. in finance) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Finance categories.
In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading.
Three Essays On Trading Volume
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Author : Guohua Ma
language : en
Publisher:
Release Date : 2007
Three Essays On Trading Volume written by Guohua Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading
Three Essays On
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Author : Ethan D. Watson
language : en
Publisher:
Release Date : 2013
Three Essays On written by Ethan D. Watson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation consists of three essays on cancelling liquidity, information generation and learning by holding private placements, and information generation, learning and the trading dynamics of institutional traders during the 2007-2008 financial crisis. The first essay examines cancellation activity of limit orders. We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable approach and estimate a simultaneous equations model to overcome simultaneity in the trading process. We find significant differences in cancellation activity in the post Reg NMS environment, and differences in cancellation activity between exchanges. However, we fail to find evidence that the increase in cancellations is detrimental to market quality, despite concerns from regulators and traders. In the second essay we examine how relationships influence trading behavior. Specifically, we study whether or not financial intermediaries (insurance companies) produce information via relationships with publicly traded firms established by investing in the public firm's privately placed securities (privately placed debt, or equity). We contribute to the literature that asserts that financial intermediaries generate information via relationships that they establish with their clients. We find some evidence that suggests insurers do generate information via the private placement relationship and use this information to trade. In the third essay, we study if institutional traders acquire information from the assets that they hold and how this impacts trading decisions around the 2007-2008 financial crisis. Specifically, we test if insurance companies who hold mortgages exhibit different trading behavior in their mortgage backed securities portfolio than insurers who do not hold mortgages. We examine insurers' trading behavior in light of several theories of how institutions trade during crisis periods. We document that insurers who hold mortgages have higher odds of being net disposers of MBSs prior to the crisis, than are other insurers. We also find that, on average, insurers exhibited a flight to safety during the crisis.