作者：Cremers, KJM
作者单位：Yale University
摘要：Attempts to characterize stock return predictability have resulted in little consensus on the important conditioning variables, giving rise to model uncertainty and data snooping fears. We introduce a new methodology that explicitly incorporates model uncertainty by comparing all possible models simultaneously and in which the priors are calibrated to reflect economically meaningful information. Our approach minimizes data snooping given the information set and the priors. We compare the prior...
作者：Booth, GG; Lin, JC; Martikainen, T; Tse, Y
作者单位：Michigan State University; Michigan State University's Broad College of Business; Louisiana State University System; Louisiana State University; Aalto University; University of Texas System; University of Texas at San Antonio
摘要：We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if th...
作者：Biais, B; Germain, L
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
摘要：An informed financial institution can trade on private information and also sell it to clients through a managed fund. To provide an incentive for the informed agent to trade in the interest of her client, the optimal contract requires that she be compensated as an increasing function of the profits of the fund. The optimal contract is also designed to limit the aggressiveness of the sum of the fund's trade and the proprietary trade. This reduces information revelation and thus leads to greate...
