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Articles 1 - 10 of 10
Full-Text Articles in Business
Expert Recommendations In The ‘Dartboard’ Column, William Bertin, Laurie Prather
Expert Recommendations In The ‘Dartboard’ Column, William Bertin, Laurie Prather
Laurie Prather
For many years the Wall Street Journal’s "Your Money Matters" column has conducted monthly stock selection contests where random "dartboard portfolios" have been pitted against professional stock analysts’ portfolios. In the professional portfolios, four stocks are selected by four experts, while the dart portfolios consists of four stocks randomly selected by Wall Street Journal staff members throwing darts onto a dartboard containing all stock listings from the NYSE, AMEX, and NASDAQ. In both portfolios each stock is given an equal weight of 25 percent. The returns for each stock are computed over a six-month holding period, and the portfolio returns …
A New Look At Mutual Fund Performance, Laurie Prather, William Bertin, Thomas Henker
A New Look At Mutual Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Laurie Prather
This study goes beyond the scope of the typical analysis of mutual fund performance by considering a broader set of fund-specific factors uniquely categorized in terms of their impact on returns. Also unique to this study is a detailed exposition of the linkages between fund characteristics and performance. Traditional regression techniques explore these relationships in an attempt to predict fund performance, while the sample of funds examined is screened for survivor bias in a non-conventional fashion. The results suggest that our unique categories of fund popularity, agility, and growth, as well as the standard cost and managerial factors are relevant …
Intraday Reit Liquidity, William Bertin, Paul Kofman, David Michayluk, Laurie Prather
Intraday Reit Liquidity, William Bertin, Paul Kofman, David Michayluk, Laurie Prather
Laurie Prather
This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of investments if illiquidity is priced. The findings reveal intraday patterns indicating lower liquidity for REITs than for common stocks when the liquidity measure is friction-based. In contrast, activity measures exhibit higher liquidity levels for REITs than for common stocks but this difference is only statistically significant at the beginning of the trading day. The findings also indicate that the …
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Laurie Prather
This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The results indicate that the hypothesized relationships between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost, and management also explain performance. Finally, after controlling for survivorship and benchmark error as well as fund-specific factors, the results refute the performance persistence phenomenon.
The Intraday Price Behavior Of Australian Exchange Traded Options And Warrants, William Bertin, David Michayluk, Laurie Prather
The Intraday Price Behavior Of Australian Exchange Traded Options And Warrants, William Bertin, David Michayluk, Laurie Prather
Laurie Prather
This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William J. Bertin, David Michayluk, Laurie Prather
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William J. Bertin, David Michayluk, Laurie Prather
Laurie Prather
Trade-direction algorithms play an important role in traditional studies of market microstructure and in understanding the market for immediacy. This paper examines the underlying definition of trade origination and proposes a new liquidity motivation (LM) method to classify individual trades using orders. This LM model represents a unique alternative to the traditional algorithms used in most microstructure research. Using the NYSE TORQ database, LM trade classifications are compared with traditional methods for classifying trade direction. We document systematic biases resulting from the conventional algorithms and provide an alternative liquidity-based classification method that captures the actual behavior of market participants.
Decomposing The Bid-Ask Spread Of Stock Options: A Trade And Risk Indicator Model, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip, William Bertin
Decomposing The Bid-Ask Spread Of Stock Options: A Trade And Risk Indicator Model, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip, William Bertin
Laurie Prather
This paper extends Huang and Stoll (1997) to develop a spread decomposition model that includes the costs of trading that are specific to the options market. The trade and risk indicator (TRIN) model includes separate inventory cost components that reflect the market maker’s delta, vega, and gamma risk. We find that adverse selection accounts for only 5.53% of option spread, is positively related to liquidity and leverage, and is higher given negative trade imbalances. Of the inventory risk, gamma risk is the largest component (7.01%), surpassing adverse selection risk, while vega risk accounts for 5.16% and delta risk is 4.12%.
A Liquidity Motivated Algorithm For Discerning Trade Direction, David Michayluk, Laurie Prather
A Liquidity Motivated Algorithm For Discerning Trade Direction, David Michayluk, Laurie Prather
Laurie Prather
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 …
Liquidity Issues Surrounding Neglected Firms, William Bertin, David Michayluk, Laurie Prather
Liquidity Issues Surrounding Neglected Firms, William Bertin, David Michayluk, Laurie Prather
Laurie Prather
The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the stock, that have partially explained the performance of neglected firms. Neglect and price may be proxies for the liquidity of each firm's stock, and the higher observed returns may actually be a premium for the lack of liquidity. This paper compares two definitions of neglect and their relationship with liquidity. When neglect is measured by the number of analysts following a stock, more analysts are associated …
The Influence Of Management Structure On The Performance Of Fund Of Funds, William J. Bertin, Laurie Prather
The Influence Of Management Structure On The Performance Of Fund Of Funds, William J. Bertin, Laurie Prather
Laurie Prather
A rapidly growing mutual fund category is Fund of Funds (FOFs), which invest in other mutual funds instead of individual securities. This study reports on FOFs’ characteristics and performance relative to traditional equity mutual funds and finds that FOFs compare favourably. In particular, FOFs with identified managers outperform their unidentified counterparts, and FOFs that invest in-family outperform both traditional equity funds and those FOFs investing out-of-family. Finally, replicating FOFs’ holdings can be prohibitively expensive since they commonly hold funds with high minimum initial investments, closed funds and/or funds that are restricted to a particular investor type.