Эксоцман
на главную поиск contacts
В разделе собрана информация о статьях по экономике, социологии и менеджменту. Во многих случаях приводятся полные тексты статей. (подробнее...)

Journal of Finance

Выпуски:
Опубликовано на портале: 23-11-2007
Harrison Hong, Jeremy C. Stein Journal of Finance. 1999.  Vol. 54. No. 6. P. 2143-2184. 
We model a market populated by two groups of boundedly rational agents: "newswatchers" and "momentum traders." Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trendchasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under- and overreactions, the model generates several other distinctive implications.
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 02-10-2003
Michael J. Barclay, William G. Christie, Eugene Kandel, Jeffrey H. Harris, Paul H. Schultz Journal of Finance. 1999.  Vol. 54. No. 1. P. 1-34. 
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию