Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Christine X. Jiang"'
Publikováno v:
Financial Analysts Journal. 77:66-82
In the study reported here, we explored high-frequency algorithmic trading and its effect on exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, percentage odd-lot volume...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5dc1e5c67bc6cc0b62b8adacee6fc03a
https://doi.org/10.1080/0015198x.2020.1865694
https://doi.org/10.1080/0015198x.2020.1865694
Early Movers Advantage? Evidence from Short Selling during After‐Hours on Earnings Announcement Days
Publikováno v:
Financial Review. 54:235-264
We examine short sellers’ after‐hours trading (AHT) following quarterly earnings announcements released outside of the normal trading hours. Our innovation is to use the actual short trades immediately after the announcements. We find that on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b5d3920bfb7acdf1a502a9c01f76b5fb
https://doi.org/10.1111/fire.12174
https://doi.org/10.1111/fire.12174
Publikováno v:
Applied Economics. 51:3995-4007
During June 2009–May 2012, the China Securities Regulatory Commission (CSRC) suspended window guidance that limits issue prices. Using this regime change as a natural experiment, we test th...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a7fdefc423fffe5e0e504a7344977e1
https://doi.org/10.1080/00036846.2019.1588946
https://doi.org/10.1080/00036846.2019.1588946
Publikováno v:
Finance Research Letters. 46:102357
Using drug prices from the Veteran Affairs office, we document limited clustering on whole dollars and heightened strategic pricing. Surprisingly 97.9% of drugs over $10,000 are priced down to the cents. We find no significant variations in clusterin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec8c722772227f6a1f6dd09606b319d4
https://doi.org/10.1016/j.frl.2021.102357
https://doi.org/10.1016/j.frl.2021.102357
Publikováno v:
Journal of Financial Markets. 36:1-16
Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3abff8f8b35d3c9f16c468fb63511af7
https://doi.org/10.1016/j.finmar.2017.07.005
https://doi.org/10.1016/j.finmar.2017.07.005
Publikováno v:
The Journal of Trading. 12:18-28
Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b2ab5d254f77731263907d2b469d517
https://doi.org/10.3905/jot.2017.12.4.018
https://doi.org/10.3905/jot.2017.12.4.018
Publikováno v:
Journal of Corporate Finance. 68:101943
This study examines the effect of short selling constraints on politically motivated suppression of negative information. We use a unique setting in China, in which there are multiple exogenous changes in short selling constraints and firms have stro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97fa8f50a57d1ebd2bfedc84a14f507e
https://doi.org/10.1016/j.jcorpfin.2021.101943
https://doi.org/10.1016/j.jcorpfin.2021.101943
Publikováno v:
Applied Economics. 49:2766-2778
We investigate price clustering of intraday trades and negotiated block trades on the Shanghai Stock Exchange (SSE) from 2003 to 2009. Prices of traded assets tend to cluster on certain final digits, such as 0 and 5. In Chinese culture, 8 is associat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::50ee316927b3d406d145b111d6d29092
https://doi.org/10.1080/00036846.2016.1248284
https://doi.org/10.1080/00036846.2016.1248284
Publikováno v:
Journal of Corporate Finance. 40:1-23
In this article, we examine whether internal governance, the process through which subordinate managers effectively monitor the chief executive officer (CEO), can improve a firm's liquidity. Using the difference in horizons between a CEO and his imme
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::69d2c9f98eb9cbb426c62ca71f667c93
https://doi.org/10.1016/j.jcorpfin.2016.06.005
https://doi.org/10.1016/j.jcorpfin.2016.06.005
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 43:146-157
We investigate liquidity, transaction costs and information content in trades of mainland Chinese stocks that are cross-listed on the Hong Kong stock market. Most majority of cross-listed Chinese stocks issue shares in the Hong Kong market and domest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b9596fa17ddd55f0631cd39ee8e5c8b
https://doi.org/10.1016/j.intfin.2016.04.003
https://doi.org/10.1016/j.intfin.2016.04.003