A specialist's quoted depth and the limit order book
Article Abstract:
By partitioning quoted depth into the specialist's contribution and the limit order book's contribution, the paper investigates whether specialists manage quoted depth to reduce adverse selection risk. The results show that both specialists and limit order traders reduce depth around information events, thereby reducing their exposure to adverse selection costs. Moreover, specialists' quotes may reflect only the limit order book on the side (or sides) of the market where they believe there is a chance of informed trading. Changes in quoted depth are consistent with specialists managing their inventory as well as having knowledge of the stock's future value. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
Liquidity and credit risk
Article Abstract:
A study is conducted develop a structural bond valuation model to simultaneously capture liquidity and credit risk in financial markets.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Analysts and the cash flow statement. Is brevity clarity? Examining investment information sources for sophisticated investors using cluster analysis
- Abstracts: Russia restructures. Industry looks to 2004: a credit perspective. Project finance in 2004: part of an essential corporate diet
- Abstracts: Informational efficiency of credit default swap and stock markets: the impact of credit rating announcements. Measurement, estimation and comparison of credit migration matrices
- Abstracts: Cluster analysis gets complicated. Brands that get noticed. An integrated approach
- Abstracts: Hedge funds and the technology bubble. Correlated trading and location. Predictable investment horizons and wealth transfers among mutual fund shareholders