The purpose of this article is to investigate whether the securities regulation put forward by the EU contributes to an efficient stock market. An event study of investor meetings/presentations held by listed Danish firms is conducted. The article finds significantly positive abnormal returns a few days around investor meetings. Share turnover reaches maximum one day after investor meetings. Th...

I n this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year...

In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share ...

Single-molecule spectroscopy can monitor transitions between two microscopic states when these transitions are associated with the emission of photons. A general formalism is developed for obtaining the statistics of such transitions from a microscopic model when the dynamics is described by master or rate equations or their continuum analog, multidimensional reaction-diffusion equations. The f...

the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

dividend payout decision making and amount of it is an important issue in the corporate finance, because in this decision making the amount of money which should be paid to the investors and should be retained for investment will be determined. in a market with no trading friction, rational investors with liquidity needs can choose between dividend and selling stocks at no cost. in this article...

The book first sets forth the policies and practical considerations underlying the current international and national trading regimes, including a description of what Professor Jackson calls the “constitutional structure” of the national and world trading systems. In addition, the book describes the procedures and practices of dispute resolution. The international focus of the book is largely o...

This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many glamour ~value! characteristics, earn lower ~higher! future returns, and have consistently more negative ~positive! earnings surprises over the next eight quarters. Past trading volume also predicts bot...