Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Pamela C. Moulton"'
Publikováno v:
SSRN Electronic Journal.
Proprietary traders’ role in capital markets has received heightened attention with the debate over the Volcker Rule following the 2008-09 financial crisis. To date, there is little evidence on whether proprietary traders provide or take liquidity
Publikováno v:
Journal of Financial Markets. 57:100690
Recent research indicates that high-frequency trading (HFT) helps incorporate fundamental information into prices, but how this happens is unclear. We examine reduced attention constraints as an important channel through which HFT enhances price effi
Publikováno v:
Journal of Empirical Finance. 43:74-90
We examine the market quality effects of technology upgrades juxtaposed with short-sale bans. Between 2011 and 2013, the Spanish Stock Exchange introduced a smart trading platform (SIBE-Smart) and colocation to facilitate high-speed trading, and they
Publikováno v:
Journal of Financial Intermediation. 31:45-63
We document strong weekly lead-lag return predictability across stocks from different industries with no customer-supplier linkages (economically unrelated stocks). Between 1980 and 2010, the industry-neutral long-short hedge portfolio earns an avera
Publikováno v:
Journal of Financial and Quantitative Analysis. 52:1403-1428
Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than 3 months, and the returns on these trades average -3.91% (no
Publikováno v:
SSRN Electronic Journal.
We propose a parsimonious metric – the Adjusted Benford score (AB-score) – to improve the detection of financial misstatements. Based on Benford’s Law, which predicts the leading-digit distribution of naturally occurring numbers, the AB-score e
Autor:
Pamela C. Moulton, Sarah Leow
Publikováno v:
Cornell Hospitality Quarterly. 56:5-16
This study examines how the release of multiple firms’ earnings announcements on the same day combines with human attention constraints to affect the trading of hospitality stocks. We document two opposing effects. We find that a rush of earnings a
Autor:
Pamela C. Moulton
Publikováno v:
Cornell Hospitality Quarterly. 60:4-4
Publikováno v:
Journal of Financial and Quantitative Analysis. 48:489-518
The trading of shares of the same firm in multiple markets has become common over the last 30 years, but there is little empirical evidence on the extent to which investors actively exploit multimarket environments. We introduce a volume-based measur
Publikováno v:
Journal of Financial Markets. 15:467-491
Asquith et al. (2010) conclude that short sales are often misclassified by the Lee–Ready algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit that short sales should be overwhelmingly seller-initiated.