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  1. The effect of ambiguity on price formation and trading behavior in financial markets
    Autor*in: Li, Wenhui; Ockenfels, Peter; Wilde, Christian
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    This paper sets up an experimental asset market in the laboratory to investigate the effects of ambiguity on price formation and trading behavior in financial markets. The obtained trading data is used to analyze the effect of ambiguity on various... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 431
    Fernleihe:
    keine Fernleihe

     

    This paper sets up an experimental asset market in the laboratory to investigate the effects of ambiguity on price formation and trading behavior in financial markets. The obtained trading data is used to analyze the effect of ambiguity on various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative trading) and to test the quality of popular empirical market-based measures for the degree of ambiguity. We find that ambiguity decreases market prices and trading activity; ambiguity leads to lower market liquidity through wider bid-ask spreads; and ambiguity leads to less speculative trading. We also find that popular market-based measures of ambiguity used in the empirical literature do not seem to correctly capture the true degree of ambiguity.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247274
    Schriftenreihe: SAFE working paper ; no. 326
    Schlagworte: ambiguity; financial market; market price; volatility; trading activity; bidask spread; market-based measure of ambiguity; laboratory experiment
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Intra-industry transfer ofinformation inferred from trading volume
    Autor*in: Brushko, Iuliia; Ferris, Stephen P.; Hanousek, Jan; Trešl, Jiří
    Erschienen: August 2020
    Verlag:  Charles University, Center for Economic Research and Graduate Education, Prague

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    W 695 (663)
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    ISBN: 9788073434700; 9788073445522
    Schriftenreihe: Working paper series / CERGE-EI ; 663
    Schlagworte: intra-industry; earnings announcement; earnings surprise; trading activity
    Umfang: 28 Seiten, Illustrationen
    Bemerkung(en):

    Erscheint auch als Online-Ausgabe
  3. Fee the People
    Retail Investor Behavior and Trading Commission Fees
    Autor*in: Even-Tov, Omri; George, Kimberlyn; Kogan, Shimon; So, Eric
    Erschienen: 2023
    Verlag:  SSRN, [S.l.]

    We show retail investors are highly responsive to changes in trading commission fees. Using a triple-difference research design around the removal of fees for retail investors on the international retail broker platform, eToro, we show investors... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    We show retail investors are highly responsive to changes in trading commission fees. Using a triple-difference research design around the removal of fees for retail investors on the international retail broker platform, eToro, we show investors responded by trading approximately 30% more frequently, in smaller order sizes, and increasing portfolio turnover. Removing fees also spurred retail investors to reallocate their portfolios and diversify. Retail investors’ gross return performance did not significantly change around the fee removal despite trading more often, but retail investors earned significantly higher returns on a net basis after accounting for fees incurred in the pre-period. Finally, using demographic information, we show removing fees disproportionately affected inexperienced investors with lower deposit amounts and lesser technological sophistication both by expanding the extensive margin of investors and changing trading activity for the intensive margin of investors. Together, our results suggest commission fees play an influential role as a speed bump for retail investor participation, trading activity, and diversification

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: MIT Sloan Research Paper ; No. 6801-22
    Schlagworte: Retail investors; trading activity; behavioral finance
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (69 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2022 erstellt