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Working paper
A Comparison of Pricing Models for Mineral Rights: Copper Mine in China
In: Resources Policy, Band 65
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Analysis of Rare Events Using Multidimensional Liquidity Measures
In: FINANA-D-24-00321
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Regulating noisy short‐selling of troubled firms?
In: Journal of financial economic policy, Band 1, Heft 3, S. 227-245
ISSN: 1757-6393
PurposeThe purpose of this paper is to examine the efficacy of recent policy initiatives taken by the US Securities and Exchange Commission banning naked "short‐selling" of specific financial stocks. The paper also considers the merits of reinstating "uptick rule" 10a‐1, which prohibits short‐selling securities on a downtick.Design/methodology/approachThe paper studies theoretical implications of short‐selling in a simple state‐claim model, reflecting varying amounts of short interest in a representative firm and noise trading in the market. Price discovery depends on the proportion of noise trading compared to rational short‐selling. The empirical analysis focuses on price volatility under short‐selling constraints employing simple regressions, EGARCH analysis and simulated price behavior under a hypothetical uptick rule.FindingsThe EGARCH results suggest short‐selling constraints had non‐uniform impacts on the persistence and leverage effects associated with price volatility. The corresponding price simulations indicate a hypothetical uptick rule might have helped stabilize price behavior in some cases, depending on the nature of the stochastic process and whether or not quantity constraints on short‐selling are binding.Originality/valueThe theoretical arguments and empirical findings suggest a "focused approach" to market regulation would be a more efficient means of discouraging trend chasing without compromising "informed trading" – that is to say, safeguarding price discovery and market liquidity without impeding arbitrage or confounding probability beliefs regarding firm survival. These conclusions are largely in accord with recent policy analysis and proposals outlined in Avgouleas.
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SHIFT: A Highly Realistic Financial Market Simulation Platform
In: 6th International Symposium in Computational Economics and Finance, Paris, October 29-31, 2020
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Working paper
Study of Memory Effects in International Market Indices
In: M.C. Mariani, I. Florescu, M.P. Beccar Varela, E. Ncheuguim, Study of memory effects in international market indices, Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 8, 15 April 2010, Pages 1653-1664, ISSN 0378-4371
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