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Full-Text Articles in Social and Behavioral Sciences
Order Execution Quality In Equity Options Markets, Todd Gardner Griffith
Order Execution Quality In Equity Options Markets, Todd Gardner Griffith
Electronic Theses and Dissertations
In Part 1, we examine the effects of an order cancellation fee on limit order behavior and execution quality on the NASDAQ OMX PHLX. We find that the cancellation fee is effective in reducing the rate at which limit orders are submitted and subsequently deleted. Order volume declines, however, the remaining displayed orders appear to constitute more genuine liquidity, as the duration of canceled orders lengthens. The reduction in order cancellation activity is associated with lower effective spreads and higher order fill rates. We also find that differences in trading venues and option characteristics are important determinants of order cancellations …
Three Essays On Private Market Interactions, Jonathan Daigle
Three Essays On Private Market Interactions, Jonathan Daigle
Electronic Theses and Dissertations
The first study addresses why insurers, whom traditionally invest in relatively safe assets, choose to invest in private equity (PE). Using insurer financial disclosures, we test theories relating how risk shifting, managerial discretion, underinvestment, asset liability matching, regulation, home bias, and reaching for yield affect PE investment. Results indicate risk¬ shifting and managerial discretion by stock insurers does not factor into the PE investment decision. In addition, results confirm home bias positively influences PE investment while underinvestment, asset liability matching, and regulation deter PE investment. Finally, insurers have not increased their PE allocation due to low-yield interest rate environments. The …