Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Business
How The Australian Ban On Short Selling During The Gfc Affected Market Quality And Volitility, Uwe Helmes, Julia Henker, Thomas Henker
How The Australian Ban On Short Selling During The Gfc Affected Market Quality And Volitility, Uwe Helmes, Julia Henker, Thomas Henker
Thomas Henker
We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the financial crisis, the ban on short selling of financial stocks on the Australian Stock Exchange lasted eight months, including both the tumultuous end of 2008 and the calmer period up to May 2009. Our control group consists of matched Canadian financial institutions which were unaffected by a short selling ban. We analyze the impact of …
Transaction Size And Effective Spread: An Informational Relationship, Thomas Henker, Robert Kohn, Yuewen Xia, David Feldman
Transaction Size And Effective Spread: An Informational Relationship, Thomas Henker, Robert Kohn, Yuewen Xia, David Feldman
Thomas Henker
The relationship between quantity traded and transaction costs has been one of the main focuses among financial scholars and practitioners. The purpose of this thesis is to investigate the informational relationship between these variables.Following insights and results of Milgrom (1981), Feldman (2004), and Feldman and Winer (2004), we use New York Stock Exchange (NYSE) data and kernel estimation methods to construct the distribution of one variable conditional on the other. Then, we study the information in these conditional distributions: the extent to which they are ordered by first order stochastic dominance (FOSD) and by the monotone likelihood ratio property (MLRP).
The Vanishing Abnormal Returns Of Momentum Strategies And ‘Front-Running’ Momentum Strategies, Julia Henker, Thomas Henker, Robert Huynh, Martin Martens
The Vanishing Abnormal Returns Of Momentum Strategies And ‘Front-Running’ Momentum Strategies, Julia Henker, Thomas Henker, Robert Huynh, Martin Martens
Thomas Henker
We find variations in returns from momentum strategies. Unlike most studies, we form portfolios one week prior to the end of month, called ‘front-running’ momentum portfolios. As expected, due to the effects of institutional momentum trading, our ‘front-running’ portfolios generate returns of similar magnitude but lower volatility than month-end strategies. We also show that the previously documented large-firm momentum effect is sensitive to the strategy examined, and is attributable to the abnormal returns of large NASDAQ stocks. Moreover, momentum strategies did not earn significant returns during our sample period, an indication that momentum is not an unambiguously persistent anomaly.