The NYSE has opened the limit-order book to off-exchange traders during trading hours. In this paper, we address the welfare implications of the recent change in market structure. We model a market similar to the single-price auction that the exchange uses to open the trading day. We consider two different environments. In the first, only the specialist can see the limit order book, while in th...

Theory suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance of investors in its region. Using data on U.S. states and Census regions, we find clearcut support for this proposition. Most of the variation in the ratio of interest comes from differences across regions ...

We perform specification tests of unbalanced panel data models for stock return prediction using an estimate of the coefficient covariance matrix robust to spatial heteroskedasticity. We apply estimators of individual effects and time effects in unbalanced panel models. For a panel of 1243 US firms for the period 1985–2002 we find that industry effects are significant and interact with firm cha...

In this paper, we investigate the influence of financial proxies on companies in real estate sector listed Amman stock exchange during Covid-19 pandemic. A panel data method is employed for sample, which includes 29 companies, period from 2010 to 2020. The are considered as independent variables, consist earnings per share, book value price-to-earnings (P/E) ratio, price-to-book value, debt and...

Submitted: Jun 24, 2013; Accepted: Jul 19, 2013; Published: Jul 25, 2013 Abstract: The article presents an empirical study of institutional maturity as a determinant of companies’ value and well-being of countries as a whole. Regression models of value multiples with inclusion of institutional factors are developed. Value of companies is studied in terms of the following multipliers: Price-Earn...

This study aims to determine how the influence of company financial performance and institutional ownership on stock prices. The population in this were mining companies listed Indonesia Stock Exchange, namely PT Adaro Energy Tbk, Aneka Tambang Bukit Asam Tbk during 2016-2020 period. independent variables are ownership, as proxied by Earning Per Share, Price Ratio, Book Value, Dividend Share de...

Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of t...

The capital market is a meeting place for two interests, namely those who need funds (companies) and have excess (investors). One of the instruments, stocks, companies can get from investors by selling shares buy company to profits in future. stock price be influenced various factors including financial performance. Whether or not company's performance affect rise fall price. better performance...

We consider which factors determined the price–rent ratio for the housing market in 18 U. S. metropolitan statistical areas (MSAs) and at the national level over the period of 1975– 2014. Based on a present-value framework, our proposed empirical model separates the price–rent ratio for a given market into unobserved components related to the expected real rent growth and the expected housing r...

Price dynamics are studied on the basis of more than 11,000 transactions from twelve large-scale financial markets experiments. Transaction price changes are strongly correlated with the excess demands that form the core of competitive general equilibrium theory. The evidence for market microstructure theory (which focuses on strategic interaction, appealing to game theory) is more qualified. O...