An empirical examination of information, differences of opinion, and trading activity

Article Abstract:

The empirical factors that affect trading volume are examined. Two factors, information flows and differences in opinion, which are substituted for quantification purposes are highlighted. It is determined that general market informations affect trading volume of big firms stocks, while small firms are largely affected by specific-firm informations. Open interests, as substitute for differences of opinions, have positive effects on trading volume. Other theoretical factors that affect trading activity are also discussed.

Evaluation, Economics, Information theory, Information theory in economics

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Time-varying risk premia and forecastable returns in futures markets

Article Abstract:

An analysis of the predictive power of several futures market variables is presented. Equity and bond market variables including Treasury bill yields, equity dividend yields and the junk bond premium exhibit forecasting power for such markets. It is shown that the latent variables which explain future returns do not generate similar properties with those of size-ranked equity portfolios.

Research, Risk (Economics)

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Market transparency, liquidity externalities, and institutional trading costs in corporate bonds

Article Abstract:

The impact of transaction reporting and market design on the trade execution costs for corporate bonds is analyzed.

United States, Commodity & service prices, Corporate Bonds, Prices and rates, Externalities (Economics), Company pricing policy, Market positioning

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