Informed Trading, Short Sales Constraints, and Futures' Pricing
نویسندگان
چکیده
منابع مشابه
Congestion Pricing, Slot Sales and Slot Trading in Aviation
This paper studies the regulation of an airline duopoly on a congested airport. Regulation should then address two market failures: uninternalized congestion, and overpricing due to market power. We find that first-best charges are differentiated over airlines if asymmetric, and completely drive out the least efficient airline from the market. This is not generally the case for an undifferentia...
متن کاملDifferences of Opinion, Short-Sales Constraints, and Market Crashes
We develop a theory of market crashes based on differences of opinion among investors. Because of short-sales constraints, bearish investors do not initially participate in the market and their information is not revealed in prices. However, if other previously bullish investors bail out of the market, the originally bearish group may become the marginal “support buyers,” and more will be learn...
متن کاملFutures trading with transaction costs
A model for optimal consumption and investment is posed whose solution is provided by the classical Merton analysis when there is zero transaction cost. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. There are two sources of this loss. The first is a loss due to “displacement” that arises because one cannot maintain the op...
متن کاملElectronic Trading on Futures Exchanges
To place an order under this method, the customer calls a broker, who time-stamps the order and prepares an office order ticket. The broker then sends the order to a booth on the exchange floor. There, a floor order ticket is prepared, and a clerk hand delivers the order to the floor trader for execution. In some cases, the floor clerk may use hand signals to convey the order to floor traders. ...
متن کاملTax-Loss Trading and Wash Sales
Tax-Loss Trading and Wash Sales An analysis of trades in the Finnish stock market around the turn of the year 1994-95, 199596, and 1996-97 shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital loss and how close the sale is to the end o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.217268