Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 5 of 5
Full-Text Articles in Finance and Financial Management
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William Bertin, David Michayluk, Laurie Prather
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William 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.
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 …
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.
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 …