Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities
Article Abstract:
Acomparison is made of the intraday trading patterns of stocks listed in NASDAQ and stocks listed in the New York Stock Exchange (NYSE). The intraday trading patterns show that bid-ask spreads of NASDAQ stocks are relatively stable for much of the trading day and narrow only toward the close. This trading pattern differs significantly from the U-shaped pattern exhibited by the bid-ask spreads of stocks listed in the NYSE. The differences in the intraday trading patterns of these two exchanges can be traced to the differences in the structural charcteristics of specialist markets such as the NYSE and dealer markets such as the NASDAQ. Specifically, declines toward the close of markets reflect inventory control measures among NASDAQ dealers, while wider spreads indicate the power of specialists in the NYSE.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
On the contrarian investment strategy
Article Abstract:
The contrarian investment strategy involves buying losing stocks and and selling short stocks that have been winning. The contrarian strategy is based on the premise that the market over-reacts to news. Winning stocks therefore tend to be over-valued and losing stocks are undervalued. An alternative interpretation of the performance of the contrarian strategy is offered. The risks of the winners and losers are not constant. As a result, the estimation of the return of this strategy is sensitive to the method used. Only small abnormal returns are realized when there is control for risk changes. The standard Capital Assets Pricing Model is used as the model of risk and return.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1988
User Contributions:
Comment about this article or add new information about this topic:
Some further evidence on the stochastic properties of systematic risk
Article Abstract:
The beta risk of equity securities is generally thought to be stochastic; whether this variation is random or shows auto-correlation through time is uncertain. To resolve this question, a model is used that allows beta to simultaneously exhibit both autoregressive and random behavior. This model is tested on a large sample of randomly formed portfolios and individual securities. The results indicate that about one-quarter of the beta variation for securities and portfolios is auto-correlated.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1987
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Understanding the efficiency of multi-server service systems. The best order for queues in series
- Abstracts: Factors associated with the disclosure of managers' forecasts. The merger-bankruptcy alternative
- Abstracts: Rational choice and the framing of decisions. Fairness and the assumptions of economics. Comments on Arrow and on Lucas
- Abstracts: The bias of schedules and playoff systems in professional sports. A single product cycling problem under Brownian motion demand
- Abstracts: The ins and outs of foreign trade. The Volvo way of financial reporting. Going global: what to look for in financial software