The aims of this study are to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the U.S. Treasury securities market. We find empirical support for the hypothesis that an increase in effective supply of the securities enhances market liquidity. Empi...

Market prices are well known to efficiently collect and aggregate diverse information regarding the economic value of goods and services, particularly for financial securities. We propose a novel application of the price discovery mechanism in the context of marketing research: to use pseudo-securities markets to measure consumer preferences over new product concepts. A securities-trading appro...

A model of security design based on the principle of information aggregation and alignment is used to show that (i) ̄rms needing to ̄nance their operations should issue di®erent securities to di®erent groups of investors in order to aggregate their disparate information and (ii) each security should be highly correlated (closely aligned) with the private information signal of the investor to wh...

(a) The link between risk-neutral expectations and PDE’s. We have discussed two apparently different approaches to the valuation of a European option: (i) take the discounted risk-neutral expected payoff, or (ii) solve the Black-Scholes PDE. Let’s show now that these two approaches are equivalent. First, consider options on a forward price. We saw long ago that in the discrete time setting, the...

We examine whether rational investor responses to information uncertainty explain properties of and returns to accounting-based trading anomalies. We proxy for information uncertainty with two measures of earnings quality: the standard deviation of the residuals from a Dechow and Dichev [2002] model relating accruals to cash flows, and the absolute value of performanceadjusted abnormal accruals...

In this paper, I give a brief introduction to the important topics in securities trading and the general problem to be solved. I provide a broad overview of the issues surrounding pattern recognition with applications in securities trading and I discuss the types of potential problems unique to financial applications and how they differ from traditional pattern recognition tasks. Finally, I des...

This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities ar...

We study security-bid auctions in which bidders compete for an asset by bidding with securities whose payments are contingent on the asset’s realized value. In formal security-bid auctions, the seller restricts the security design to an ordered set and uses a standard auction format (e.g., first or secondprice). In informal settings, bidders offer arbitrary securities and the seller chooses the...

The research results which are presented in this paper aimed to verify the theory which claims that there is a significant relationship between financial market integration on international scale, financial development and economic growth. Our research focused not on the entire financial market but on the segment of equity securities (shares and investment certificates) and debt securities (cor...

This paper develops a model of electronic service adoption in the context of Internet securities trading. Customer acceptance is an important imperative for web-based service as it influences the service’s adoption. The two beliefs of the Technology Acceptance Model (TAM), perceived ease of use and perceived usefulness, have not fully explained users’ acceptance in the context of Internet secur...