information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. we measured information asymmetry by lack of earnings transparency. therefore we examine the effect of earnings transparency on cap...

the present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. when return series exhibit long memory, it indicates that observed returns are not independent over time. if returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. it poses a serious challenge to ...

A model of a decentralized market is developed that features search frictions, advertised prices and bargaining. Sellers can post ask prices to attract buyers through a process of directed search, but ex post there is the possibility of negotiation. Similarly, buyers can post negotiable bid prices to attract sellers. Even when transaction prices often differ from quoted prices, bid and ask pric...

We consider a Cournot Oligopoly market of firms possessing increasing returns to scale technologies (which may not be identical). It is shown that an external regulating agency can increase total social welfare without running a deficit by offering to subsidize one firm an amount which depends on the output level of that firm and the market price. The firms bid for this contract, the regulator ...

We report data from laboratory emissions allowance markets in which allowances do not expire and can be banked between compliance periods. These periods consist of a sealed bid auction, trading, and then compliance. The markets consist of multiple sequential compliance periods. We observe (1) market prices reflect an expectation of future market prices, not underlying equilibrium; (2) allowance...

This paper investigates the impact of informational ambiguity and attitude to it on security prices. Attention is focused on equilibria in which a market maker has an ambiguity in his probability assessment. We show that the equilibrium ambiguous bid-ask spread can be decomposed into the probabilistic spread and an “ambiguity premium/discount” component characterizing the ambiguity aversion/see...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

A working solution to the problem of thermal resource distribution in a building is demonstrated using a market-based systent In this system computational agents representing individual temperature controllers bid to buy or sell cool or warm air. They do so via a double-blind computerized auction which is moderated by a central computer auctioneer. The auctioneer sees to it that no agent buys r...

We develop a market-wide illiquidity risk factor based on run lengths and find that it is priced using standard asset-pricing specifications. Our theoretical framework of equity returns derives the result that average run lengths are related to common measures of liquidity such as trading volume and trade price-impact. This relationship holds irrespective of the observation frequency in the com...