Business Commons^™

Do Investors Herd Intraday In Australian Equities?, Julia Henker, Thomas Henker, Anna Mitsios

Thomas Henker

Purpose – The purpose of this research is to consider whether market wide herding occurs intraday.

Design/methodology/approach – Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market.

Findings – Neither market wide nor industry sector herding occurs intraday.

Research limitations/implications – Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross-sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market …

Essential Concepts Of Business For Lawyers, Robert Rhee

Robert Rhee

Accounting and finance cannot be taught through the dense text and format typical of legal casebooks. Mirroring textbooks used at business schools with significant quantities of visuals, Essential Concepts of Business for Lawyers uses many graphical elements, including pictures, charts, diagrams, and tables. Engaging hypotheticals are fun and engaging, but they also illustrate the application of important concepts in business situations. At the end of every chapter, there are three forms of review and summary: Essential Terms, Key Concepts, and Review Questions. The text uses many examples, specially set in example boxes, to illustrate and reinforce difficult concepts. Completely up …

Bid And Ask Spreads In Futures Markets, Thomas Henker

Thomas Henker

This dissertation examines a number of empirical issues that arise in the trading of equity index futures and in research conducted using high frequency futures market data. Both essays benefit from a data set unique to futures market research. The dissertation consists of two essays. ^ The Bid and Ask spread of the FTSE-100 futures contract, presents evidence that bid-ask spreads of the FTSE-100 index futures market are wider than microstructure theory would predict because full point price quotes are systematically preferred over half point price quotes by market makers. The findings are even more pronounced for electronic trading in …

Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather

Thomas Henker

We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.

Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather

Laurie Prather

We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.

Are Retail Investors The Culprits? Evidence From Australian Individual Stock Price Bubbles, Julia Henker, Thomas Henker

Thomas Henker

We address the question of whether the trading of retail investors causes stock price anomalies. Our intent is to study settings in which retail investors are most likely to have influence on market prices. Previous research suggests that retail investors have more influence in small capitalization stocks, and argues that retail investors are most likely to be irrational. Most theories of stock price anomalies hypothesize the presence of irrational traders. Consequently, we focus on stock price anomalies in primarily small capitalization stocks. Our data are from the Australian Stock Exchange Clearinghouse. The Australian stock market is characterized by a high …

Noise And Efficient Variance In The Indonesia Stock Exchange, Thomas Henker, Zaafri Husodo

Thomas Henker

We separate noise from information related variance for stocks traded on the Indonesian Stock Exchange with a realized variance estimator. We find that the average optimal sampling frequency to estimate the realized variance is 9 min and that market quality has improved after 2004. The positive relation between the standard deviation of the noise variance and the square root of the efficient realized variance implies that as uncertainty about asset values increases the risk of transacting with traders with superior information increases as well. Furthermore, variance ratio comparisons reveal that private information is a significant trading component on the IDX.

Transaction Sizes And Spreads: An Informational Approach, David Feldman, Thomas Henker, Robert Kohn, Yuewen Xiao

Thomas Henker

We introduce an informational approach (IA) for exploring association between variables, an alternative to the prevalent parametric, thus restrictive, regression analysis. The IA uses data to (non-parametrically) construct the joint distribution of variables. Then, it uses theory to develop restrictions on the joint distributions. These restrictions will typically be orderings of functions of conditional distributions induced by the joint distribution. Finally, it attempts refuting the restrictions. We implement IA examining the relation between trading sizes and spreads, a main concern. Following insights and results of Milgrom (1981), Feldman (2004), and Feldman and Winer (2004), we use NYSE data and kernel …

Price Discovery And Liquidity In Basket Securities, Thomas Henker, Martin Martens

Thomas Henker

Basket securities enable investors to purchase a broad portfolio of securities in a single transaction. We examine the link between HOLDRS, a basket security comprising stocks from an industry or sector, and the underlying stocks. We find that the price of the portfolio of underlying securities leads and is more informative than the basket price. Our results are contrary to the findings of empirical studies that use futures, which are basket securities with features less like those of the underlying equities. Our findings suggest uninformed investors can minimize adverse selection costs by trading basket securities rather than the underlying stocks.

Closed End Fund Discounts As Sentiment Indicies, Thomas Berry

Thomas D Berry

No abstract provided.

The Disposition Effect And Individual Investor Decisions: The Role Of Regret And Counterfactual Alternatives, Thomas Berry, Suzanne Fogel

Thomas D Berry

Recent studies have documented a strong tendency for individual investors to delay realizing capital losses, while realizing gains prematurely (Odean [1996], Shefrin and Statman [1985], Weber and Camerer [1996]). This tendency has been termed the “disposition effect.” The disposition effect is inconsistent with normative approaches to stock sales, such as those based on tax losses (see, for example, Constantinides [1983]). We surveyed individual investors, and found that more respondents reported regret about holding on to a losing stock too long than about selling a winning stock too soon. This finding suggests that individual investors are consistently engaging in behavior that …

Private Information And Market Movements: New Evidence From The Wednesday Closings Of 1968, Thomas Berry

Thomas D Berry

No abstract provided.

Naive And Planned Diversification For Managed Futures, Thomas Henker, George Martin

Thomas Henker

No abstract provided.

Public Information Arrival, Thomas Berry, Keith Howe

Thomas D Berry

The authors develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. The authors find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next they relate their measure of public information to aggregate measures of intraday market activity. The authors' results suggest a positive, moderate relationship between public information and trading volume but an insignificant relationship with price volatility. Copyright 1994 by American …

A Multi-State Analysis Of The Tjtc, Thomas Berry, Julia Lane

Thomas D Berry

No abstract provided.

Risk-Return And The Relative Pricing Of Darp, Thomas Berry, John Houston

Thomas D Berry

No abstract provided.

Some Guidelines For Assessing The Size Of Lack-Of-Marketability Discounts, Thomas Berry, Don Shannon

Thomas D Berry

No abstract provided.

A Survey Of Introductory Financial Managment Courses, Thomas Berry, Edward Farragher

Thomas D Berry

No abstract provided.

The Relationship Of Corporate Policy Decisions And Financial Leverage: An Empirical Analysis, Thomas Berry, John Houston

Thomas D Berry

No abstract provided.

The Impact Of Federal Tax Changes Of The Cost Of Debt For State And Local Governments, Thomas Berry, Edward Farragher

Thomas D Berry

No abstract provided.

Fnma Mortgage Commitments As Put Options: An Empirical Examination, Thomas Berry, Adam Gehr

Thomas D Berry

The Federal National Mortgage Association (FNMA) auctions commitments to purchase mortgages. An examination of the terms of the commitment contract shows that these commitments are actually put options on mortgages. The contract is unusual, however, in that the price of the commitment is a fixed percentage of the value of the mortgages. In the auction, the dealers effectively bid the exercise price at which they would be willing to pay the fixed commitment price. In this paper, we study the economics of the FNMA auction. We use a two-state approximation to the American put pricing model for interest-dependent securities to …

State Variation In The Targeted Jobs Tax Credit Program, Thomas Berry, Julie Lane

Thomas D Berry

No abstract provided.

A Short-Run Model Of Regional Housing Demand, Thomas Berry

Thomas D Berry

No abstract provided.

Fnma Auction Results As A Forecaster Of Residential Mortgage Yields, Thomas Berry, Adam Gehr

Thomas D Berry

No abstract provided.

An Alternative Methodology For Developing Certainty Equivalents, Thomas Berry, Bill Poppie

Thomas D Berry

No abstract provided.

The Choice Of Money Market Fund, Thomas Berry

Thomas D Berry

No abstract provided.