Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Markus Baldauf"'
Publikováno v:
Management Science. 68:3112-3128
Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are as follows: (i) guaranteed volume-weighted average p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3081993491c09a1c354792fcbb1472a0
https://doi.org/10.1287/mnsc.2021.4022
https://doi.org/10.1287/mnsc.2021.4022
Autor:
Markus Baldauf, Joshua Mollner
Publikováno v:
The Journal of Finance. 75:1495-1526
We study the consequences of, and potential policy responses to, high‐frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71f0047e0f744f5f899bd75f3c929a1f
https://doi.org/10.1111/jofi.12882
https://doi.org/10.1111/jofi.12882
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::69d3041d5ea9cc1f50c8a17b34e0614f
https://doi.org/10.2139/ssrn.4173362
https://doi.org/10.2139/ssrn.4173362
Autor:
Joshua Mollner, Markus Baldauf
Publikováno v:
Journal of Economic Behavior & Organization. 167:90-103
Individuals facing competitive targets increase their effort but respond non-monotonically to the target’s difficulty. We use a novel dataset of informal amateur cycling competitions to track the responses of individuals to competitively-set target
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d86fdd9ca0d5dac19293fa7d197fbd0
https://doi.org/10.1016/j.jebo.2019.09.018
https://doi.org/10.1016/j.jebo.2019.09.018
Publikováno v:
SSRN Electronic Journal.
We study the optimal execution problem in a principal-agent setting. A client contracts to purchase a large position from a dealer at a future point in time. In the interim, the dealer acquires the position from the market, choosing how to split the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e216cc0a27d65383cdda4b7b04858da2
https://doi.org/10.2139/ssrn.3778956
https://doi.org/10.2139/ssrn.3778956
Publikováno v:
SSRN Electronic Journal.
We use financial disclosures to construct the returns on real estate transactions by U.S. Congress members. Active Congress members outperform non-Congress members by 3.25% per year. They outperform financial professionals, doctors, and former Congre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::63ad39a04f1914b82d02f2eb8fe1db7f
https://doi.org/10.2139/ssrn.3801378
https://doi.org/10.2139/ssrn.3801378
Autor:
Markus Baldauf, Joshua Mollner
Publikováno v:
SSRN Electronic Journal.
We model procurement auctions held by institutional traders seeking fulfillment for large trades. The dealer who wins such an auction might fill the order out of inventory or access the market for additional volumes. How many dealers should the trade
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9965de93cf534c33552a14385c663507
https://doi.org/10.2139/ssrn.3744499
https://doi.org/10.2139/ssrn.3744499
Autor:
Markus Baldauf, Joshua Mollner
Publikováno v:
Journal of Financial Markets. 58:100621
In modern public equity markets, liquidity is provided by a heterogeneous set of traders with vastly different speeds. We study the consequences of information arrival in such a setting. We present a model that predicts faster traders achieve a relat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e29a8746514d5eba7f43666a9dd958a
https://doi.org/10.1016/j.finmar.2021.100621
https://doi.org/10.1016/j.finmar.2021.100621
Publikováno v:
SSRN Electronic Journal.
Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are: (i) guaranteed VWAP contracts, which reference the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cdc78d25facfc22bb2275129c278dafe
https://doi.org/10.2139/ssrn.3177283
https://doi.org/10.2139/ssrn.3177283
Publikováno v:
SSRN Electronic Journal.
This paper studies whether house prices reflect belief differences about climate change. We show that in an equilibrium model of housing choice in which agents derive utility from ownership in a neighborhood of similar agents, prices exhibit differen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61b1de1fa94dbaeee327966b939a80d4
https://doi.org/10.2139/ssrn.3240200
https://doi.org/10.2139/ssrn.3240200