You Can’t Always Get What You Want: Trade-size Clustering and Quantity Choice in Liquidity”,

Abstract This paper examines whether investors care more about trading their exact quantity demands at some times than at others. Using a new data set of foreign-exchange transactions, I find that customers trade more precise quantities at quarter-end, as evidenced by less trade-size clustering. Customers trade more odd lots and fewer round lots, while the number of trades and total volume are not significantly changed. I also find that the price impact of order flow is greater when customers care more about trading precise quantities. This work sheds new light on trade-size clustering and offers a potential explanation for time-series and cross-sectional variations in common liquidity measures. JEL classification: D4; G12; G1

Subvertendo a escrita e a história: um olhar contemporâneo sobre a antiguidade bíblica em "A mulher que escreveu a Bíblia"

A temática bíblica está presente em várias obras do escritor judeu-gaúcho-brasileiro Moacyr Scliar (1937-2011) desde o início de sua carreira. Entretanto, tal temática ocupará um papel central nas narrativas apenas nos últimos romances publicados em vida pelo autor. Neste artigo, analisarei somente o romance A mulher que escreveu a Bíblia (1999), embora aquilo a que chamo de “tríade bíblica scliariana” conte ainda com os romances Os vendilhões do Templo (2006) e Manual da paixão solitária(2009)

Predicting Equity Liquidity

In this paper we develop a measure of liquidity, price impact, which quantifies the change in a firm's stock price associated with its observed net trading volume. For a large set of institutional trades we compare out-of-sample, characteristic-based estimates of price impact to actual price impacts. Predictive predetermined firm characteristics, chosen to proxy for the severity of adverse selection in the equity market, the non-information-based costs of making a market in the stock, and the extent of shareholder heterogeneity, include relative size, historical relative trading volume, institutional holdings, and the inverse of the stock price. We find numerous aspects of trade execution which are significantly related to the price impact forecast error in economically plausible ways: For example, the predicted price impact overestimates the actual price impact for very large trades, for trades executed in a more patient manner, and for trades where the institution pays higher commissions.Liquidity, Price Impact, Transactions Costs

Synergies and internal agency conflicts : the double-edged sword of mergers

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 5593 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc