A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 317 resources
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In this article, we consider the possibility that some liquidity traders preannounce the size of their orders, a practice that has come to be known as "sunshine trading." Two possible effects preannouncement might have on the equilibrium are examined. First, since it identifies certain trades as informationless, preannouncement changes the nature of any informational asymmetries in the market. Second, preannouncement can coordinate the supply and demand of liquidity in the market. We show that preannouncement typically reduces the trading costs of those who preannounce, but its effects on the trading costs and welfare of other traders are ambiguous. We also examine the implications of preannouncement for the distribution of prices and the amount of information that prices reveal.
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We develop a model of the acquisition market in which the acquirer has a choice between two takeover mechanisms: mergers and tender offers. A merger is modeled as a bargaining game between the acquiring and target firms; whereas a tender offer is modeled as an auction in which bidders arrive sequentially and compete for the target. At any stage of the bargaining game the acquiring firm can stop negotiating and make a tender offer. In equilibrium, there is a unique level of synergy gains below which the acquiring firm makes only a merger attempt as it expects to lose in the competition resulting from a tender offer. For synergy gains above this level, tender offers can occur. However, to get tender offers, target shareholders must give their managers golden parachutes that give higher payoffs in tender offers than in mergers.
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This paper investigates the sensitivity of mean-variance(MV)-efficient portfolios to changes in the means of individual assets. When only a budget constraint is imposed on the investment problem, the analytical results indicate that an MV-efficient portfolio's weights, mean, and variance can be extremely sensitive to changes in asset means. When nonnegativity constraints are also imposed on the problem, the computational results confirm that a positively weighted MV-efficient portfolio's weights are extremely sensitive to changes in asset means, but the portfolio's returns are not. A surprisingly small increase in the mean of just one asset drives half the securities from the portfolio. Yet the portfolio's expected return and standard deviation are virtually unchanged.
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A simple classical Walrasian framework is proposed for the study of manipulation among asymmetrically informed risk-averse traders in financial markets, and it is used to analyze the occurrence of a market breakdown in the trading system. Such a phenomenon occurs when the outsiders refuse to trade with the insiders because the informational motive for trade of the insider outweighs her hedging motive. We demonstrate the robustness of our results by proving that the market collapse condition extends not only to the linear strategy function, but to the whole class of feasible nonlinear strategy function, but to the whole class of feasible nonlinear strategy functions. Implications for insider-trading regulation are sketched.
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In this article I develop a model that accounts for interdependence between trading costs in various asset markets arising from the optimizing behavior of liquidity traders. The model suggests that noise trading is an important determinant of the liquidity of asset markets and provides a positive theory for diversified asset holding by risk-neutral liquidity traders.
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Topic
- Bond (13)
- Mergers and Acquisitions (5)
- Capital Structure (2)
Resource type
- Journal Article (317)