Corporate Break-ups and Information Asymmetry: A Market-Microstructure Analysis

2007 ◽  
Author(s):  
Florian Bardong ◽  
Söhnke M. Bartram ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Microstructure Analysis

scholarly journals The Effect of Corporate Break-Ups on Information Asymmetry: A Market Microstructure Analysis

2008 ◽  
Author(s):  
Söhnke M. Bartram ◽  
Florian Bardong ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Microstructure Analysis

Corporate Break-Ups and Information Asymmetry: A Market Microstructure Perspective

2010 ◽  
Author(s):  
Florian Bardong ◽  
Söhnke M. Bartram ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure

Fed Speak: A Market Microstructure Analysis

2005 ◽  
Author(s):  
John Elder ◽  
Jang-Chul Kim
Keyword(s):  
Market Microstructure ◽  
Microstructure Analysis

The impact of FX intervention on FX markets: a market microstructure analysis

2010 ◽  
Vol 16 (1) ◽  
pp. 41-62 ◽  
Author(s):  
Paolo Vitale
Keyword(s):  
Market Microstructure ◽  
Microstructure Analysis ◽  
The Impact

scholarly journals Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds

2020 ◽  
Vol 13 (6) ◽  
pp. 118
Author(s):  
Doureige Jurdi
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Trading Costs ◽  
Microstructure Noise ◽  
Trading Activity ◽  
Macroeconomic News ◽  
Jump Detection ◽  
The Impact

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs.

scholarly journals Capital Market Frictions, Leasing and Hedging

2020 ◽  
Vol 3 (2) ◽  
pp. p45
Author(s):  
Vasantha Rao Chigurupati
Keyword(s):  
Information Asymmetry ◽  
Empirical Evidence ◽  
Market Microstructure ◽  
Capital Market ◽  
Financial Derivatives ◽  
Market Frictions ◽  
Estimation Techniques ◽  
Financial Firms ◽  
Theoretical Predictions ◽  
Key Variables

This paper examines the hitherto unexplored effect of lease intensity on hedging. Using a sample of 218 small and large non-financial firms drawn from 2006 to 2010, we find that firms leasing more of their Property, Plant and Equipment (PPE) use less financial derivatives, consistent with the theoretical predictions of Rampini and Viswanathan (2010). Further, using broad market microstructure based measures of information asymmetry, we offer empirical evidence consistent with theory that firms with higher information asymmetry hedge more. These results are robust to several alternative measurements of key variables, different regression specifications, estimation techniques and corrections for endogeneity.

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