Abstracts - faqs.org

Abstracts

Business

Search abstracts:
Abstracts » Business

Information asymmetries and security market design: an empirical study of the secondary market for U.S. government securities

Article Abstract:

This paper examines the empirical implications of an information asymmetry between primary and secondary dealers in the U.S. Government Securities market. This asymmetry arises because primary dealers are permitted to trade through all brokers operating in the marketplace while secondary dealers are restricted to trade through only a subset of brokers. Brokers distribute valuable information over video screens to their trading clients including dealers' up-to-date bid-ask spreads and recent transaction prices. As such, all brokers' video screen information is available to primary dealers, while only a subset of brokers' information is available to secondary dealers. Empirical analyses detect the resulting information asymmetry. (Reprinted by permission of the publisher.)

Author: Umlauf, Steven R.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1991
Government securities

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


One security, many markets: determining the contributions to price discovery

Article Abstract:

When homogenous or closely-linked securities trade in multiple markets, it is often of interest to determine where price discovery (the incorporation of new information) occurs. This article suggests an econometric approach based on an implicit unobservable efficient price common to all markets. The information share associated with a particular market is defined as the proportional contribution of that market's innovations to the innovation in the common efficient price. Applied to quotes for the thirty Dow stocks, the technique suggests that the preponderance of the price discovery takes place at the New York Stock Exchange (NYSE)(a median 92.7 percent information share). (Reprinted by permission of the publisher.)

Author: Hasbrouck, Joel
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1995
Prices and rates, Stock prices

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


Order arrival, quote behavior, and the return-generating process

Article Abstract:

This paper establishes three empirical results. We find positive autocorrelation in actual intra-day stock returns, in intra-day returns computed from quote midpoints, and in the arrival of buy and sell orders. We present a model of return generation that incorporates these features via lagged adjustment of the limit-order price and positive dependence in bid and ask transactions. The return model is observationally equivalent to an ARMA process, which is consistent with the observed return behavior. (Reprinted by permission of the publisher.)

Author: Hasbrouck, Joel, Ho, Thomas S.Y.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1987

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


Subjects list: Research, Stocks, Stock-exchange, Stock exchanges
Similar abstracts:
  • Abstracts: Life cycle and the adoption of consumer financial innovation: an empirical study of the adoption process. Financial innovation, balance sheet cosmetics and market response: the case of equity-for-debt exchanges in banking
  • Abstracts: Management information changes and functional fixation: some experimental evidence from the public sector. Methodological problems in functional fixation research: criticism and suggestions
  • Abstracts: Legacy of Black Monday: a gray equity market. Wide range of factors favor overseas financing. It's time to reassess your banking relationships
  • Abstracts: The effect of sequential information arrival on asset prices: an experimental study. part 2 Forward markets, stock markets, and the theory of the firm
  • Abstracts: The logic of positive accounting research. A descriptive study of social responsibility mutual funds. The legitimate concern with fairness
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
Some parts © 2025 Advameg, Inc.