Many studies have examined the bid price (Willingness to Pay or WTP) and the Ask price (Willingness to Accept or WTA) for ordinary real products, such as coffee mugs, candy bars, and pens, or for lotteries. This study analyzes the determinants of bid-and-ask prices in lotteries. Using a second-price auction, we elicit participants' WTP and WTA for lotteries. Participants are divided into groups according to their risk attitude and win-loving behavior. Our results indicate that greater risk-seeking and higher win-loving increase the WTP, while higher risk-seeking and lower win-loving increase the WTA. Therefore, experimental studies should separate participants into different risk-seeking and winloving groups to explain WTP and WTA disparities for risky assets. Moreover win-loving behavi...
... disseminated commercial or retail cash price series for cash market transactions, which price s...
Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily implemented but ignore information readily discernable from orders, changes in the quoted depth and subsequent price movements. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic underlying order placement. Although this liquidity-based method is difficu...
This paper surveys the bid-ask spread for trades in U.S. equity markets. Bid-ask spreads emerge from divergent objectives of the two principal participants in security markets. The buyer's (seller's) goal is to acquire (relinquish) the asset at the lowest (highest) price possible. For the buyer, this goal implies reducing total costs consisting of increasing opportunity costs and declining costs related to the supply of immediacy by the market maker. The market maker seeks to maximize wealth. The paper discusses bid-ask spreads, explores their conceptual foundations, and provides empirical estimates of their magnitudes. It also surveys impacts of corporate announcements on firm bid-ask spreads. U.S. equity markets are organized along the lines of dealer markets and specialist markets. T...
The paper analyzes stock-price reactions to stock recommendations published in printed Swedish media and also trading volumes at and around the publication day, bid/ask spreads, and the post publication drift in recommended stocks for the period 1995 - 2000. Its small size and limited number of actors makes the Swedish stock market an interesting comparison to the U.S. stock markets. The positive publication-day effect for buy recommendations was almost fully reversed after 20 days, supporting the price pressure hypothesis, and the effect for sell recommendations was negative and prices continued to drift down, supporting the information hypothesis. Analysts seem to hand their information to clients before publication, whereas no such information leaking pattern was observed for journal...
This essay provides an elementary, unified introduction to the models of market institutions that go beyond the competitive model of pricetaking behavior on both sides of the market. Several models of market institutions that govern price determination are explored and compared, including contracting, posted prices, bilateral bargaining, middlemen, and auctions. While equilibrium models still do not capture the full possibilities for market behavior, modeling specific market institutions reduces the level of abstraction inherent in the standard competitive model.
... transaction based on the prevailed market price. If a transaction occurs, the chance to gain profi...
Summary of Application: Applicants request an order that permits: (a) Series of certain actively managed open-end management investment companies to issue shares (``Shares'') redeemable in large aggregations only (``Creation Units''); (b) secondary market transactions in Shares to occur at negotiated market prices; (c) certain series to pay redemption proceeds, under certain circumstances, more than seven days after the tender of Shares for redemption; and (d) certain affiliated persons of the series to deposit securities into, and receive securities from, the series in connection with the purchase and redemption of Creation Units.
In Switzerland, the existence of a mandatory minimum par value inhibited many companies from splitting their stocks as they already traded at their minimum par value. These Swiss companies could split their stocks only after the legal minimum par value was lowered in July 1992 and again in May 2001. These two events provide rare opportunities to distinguish between stock splits that signal a permanent increase in stock price and splits that are merely a reaction to a regulatory change and thus have other motives. The significant return differences between the two samples are in line with the hypothesis that splits are a means to send positive signals to the stock market. Furthermore, while trading volumes remained largely unaffected after stock splits, relative tick sizes generally incr...
... in Shares to occur at negotiated market prices; (c) certain series to pay redemption proceeds, un...
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