Almost all real assets trade in decentralized markets, where trading frictions could inhibit the efficiency of asset allocations and depress asset prices. In this paper, I use data on commercial aircraft markets to empirically investigate whether trading frictions vary with the size of the asset market. Intuitively, it is more difficult to sell assets that have a thin market. As a result, firms...

Self-control is a personality trait that explains undersaving and nonparticipation decisions. We show self-control failure also affects trading behavior among individuals on capital markets. use smoking as the most socially accepted example of 13,644 German brokerage clients compare 3,553 smokers 10,091 nonsmokers. Smokers are associated with higher portfolio turnover unexplained by financial s...

in this research the asymmetric and non-linear correlation between the market returns and trading volume variables has modeled with the dcc-garch approach; and the impacts of market shocks, weekend and calendar effects on the market returns and trading volume are surveyed. the estimation results of parameters of the model by the maximum likelihood method show that previous day’s market return h...

the presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. in this paper, first, the formation of bubbles is tested using the new unit root test known as phillips test (generalized sup adf test) for 50 companies in the tehran stock exchange...

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation matrix.

More police reduces crime but little is know about the mechanism. Does more police deter crime by reducing its attractiveness, or is the reduction driven by an incapacitation of recurrent criminals? This paper exploits micro-level data on single robberies together with redeployments of two police forces within a city, providing first evidence of (negative) incapacitation that is driven by reduc...