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Finance and Financial Management Commons™

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Selected Works

2008

Finance

Articles 1 - 4 of 4

Full-Text Articles in Finance and Financial Management

Migration Of Trading And The Introduction Of Single Stock Futures On The Underlying Us Stocks, Thomas Henker Oct 2008

Migration Of Trading And The Introduction Of Single Stock Futures On The Underlying Us Stocks, Thomas Henker

Thomas Henker

This study investigates where liquidity and informed trading takes place following the introduction of single stock futures (SSF) contracts on the OneChicago futures exchange. Specifically, we analyze the size and composition of proportional spreads for two sets of stocks, those that have single stock futures contracts and a matched control sample that does not have such contracts. We find that, after controlling for changes in spread determinants, the average proportional spreads, on average, decrease significantly after SSF are introduced. For NYSE stocks, while the average daily trading volume in the cash market is reduced by 389,000 shares, we find a …

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The Short-Term Dynamics Of Information Risk, Thomas Henker, Shah A. H. Shah-Idil, Jianxin Wang Sep 2008

The Short-Term Dynamics Of Information Risk, Thomas Henker, Shah A. H. Shah-Idil, Jianxin Wang

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 …

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Pre-Test Assessment, Thomas D. Berry May 2008

Pre-Test Assessment, Thomas D. Berry

Thomas D Berry

Pre-tests are a non-graded assessment tool used to determine pre-existing subject knowledge. Typically pre-tests are administered prior to a course to determine knowledge baseline, but here they are used to test students prior to topical material coverage throughout the course. While counterintuitive, the pre-tests cover material the student is not expected to know, but serve as a motivational tool and a road map for the students, resulting in improved course performance.

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Price Discovery And Liquidity In Basket Securities, Thomas Henker, Martin Martens Apr 2008

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.

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