Do stock market liberalizations cause investment booms?

Article Abstract:

Evidence of a link between investment booms and liberalization of stock markets is examined in detail.

Economic aspects, Deregulation

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A multibeta representation theorem for linear asset pricing theories

Article Abstract:

A multibeta representation theorem for pricing assets is derived using reference variables that are not the true factors. According to the theorem, upper bound on pricing deviations is influenced by the relations between the reference variables and the factors and also between the reference variables and the residual risks. A new well-diversified variable is developed which may be less than perfectly related with true factors. Well diversified variables correlated with the factors have a significant role in asset pricing.

Pricing Policy, Models, Pricing

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Limit orders and the bid-ask spread

Article Abstract:

An empirical analysis of the effect of limit orders on New York Stock Exchange (NYSE) spreads was conducted. The study is helpful in explaining why the NYSE exhibits lower execution costs and provides additional insight on the intraday pattern of spreads. Results demonstrate that the majority of bid-ask quotes reflect the interest of limit-order traders. Findings suggest that the intraday pattern substantially reflects the intraday variation in spreads determined by limit-order traders.

Evaluation, Stocks, New York Stock Exchange Inc.

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