Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Publicad

Los pósitos en el siglo XIX: una red pública de microcrédito agrario (1800-1914)

This article analyses the development of one of the oldest non-profit networks in Spain, devoted to economic aid to agriculture: those called pósitos, or municipal credit institutions founded for the benefit of farmers during the 19th century. The scope of this article, thus embraces their legal and administrative changes, as well as the effect that the local, regional and national institutions had on them, as a result of their own activity. A revision of .he credit procedures and taxation they were subject to is also carried out, and, in addition, an account I provided about the debate that took place, by economists and politicians at large, as a consequence of their reform, orientation and Iiquidation in the context of the century

El cooperativismo de crédito en España, 1890-1934. Modelos, sistemas de gestión y balance de su actuación

El objetivo de este trabajo es analizar la evolución del cooperativismo agrario de crédito entre 1890 a 1934 para determinar su papel como instrumento de financiación agraria. Se estudian los aspectos relacionados con: los modelos cooperativos, la implantación territorial, las estrategias de funcionamiento de las entidades, los problemas y dificultades que limitaron su desarrollo, sus fuentes de financiación y la actuación que desempeñó el Estado en su promoción. Se constata que la actuación de las cooperativas de crédito no fue decisiva, en líneas generales, en cuanto a la financiación del sector agrario. Su labor fue importante en determinadas regiones y en sistemas agrarios concretos en los que se habían modernizado las estructuras productivas y se habían orientado hacia la comercialización exterior de sus productos.This paper seeks to examine the evolution of credit agrarian cooperativism between 1890 and 1934 in order to determine its role as an instrument of agrarian financing. We focus on the following aspects: cooperative models, the territorial establishment, operational strategies, problems and difficulties that limited their development, their sources of financing, and the role of the State in their promotion. The credit cooperatives were seen not to be decisive with respect to the financing of the agrarian sector. However, its role was important in certain regions and in those agrarian systems whose productive structures had been modernized and were oriented to trade abroad

El papel del crédito y la financiación en la agricultura capitalista (1850-1970). Una primera aproximación a un campo multifactorial

Se reflexiona sobre los materiales presentados a la sesión del crédito rural en la España contemporánea (Cabezón de Sal, 1993). El autor analiza el marco general europeo, deteniéndose en el modelo italiano. En relación con el caso español, se pone de manifiesto la importancia de los mercados informales de crédito a través de las figuras de los prestamistas-usureros locales y la negociación del crédito hipotecario rural. Igualmente, se analiza el papel de los poderes públicos y de las instituciones que favorecieron el desarrollo del crédito.The various subject matters presented at the session over the rural credit in the contemporry Spain (Cabezón de la Sal, 1993) are reflected on. The autor analyses the general European framewok. In relation to the Spanish case, the importance of informal markets of credit, through the figures of local profiteers-moneylenders and the negotiation of rural mortgage credit, is stated. At the same time, the role of public authorities and institutions, which helped the developmenmt of credit, is analyzed

Vigencia y actualidad de las teorías del P. Eximeno expuestas en el "Dell'Origine". Nuevas aportaciones al estudio de la vida y obra eximeniana

Este artículo tiene por objeto realizar un nuevo análisis sobre la contribución a la musicología del jesuita español P. José Antonio Eximeno, permitiéndome presentar los resultados de mis recientes investigaciones y nuevos proyectos basados en las tesis expuestas en la obra de Eximeno Dell'Origine e delle regole della musica. La importancia de esta obra para la práctica musicológica actual es trascendental, debido a sus enfoques sobre filosofía y pedagogía musical, así como por su opinión sobre el origen de la música. En un primer lugar, exponemos nuevos datos bibliográficos sobre Eximeno, para después pasar a presentar "nuevas" propuestas y aportaciones teóricas de su obra (no consideradas hasta ahora) que demuestran que su Dell'Origine establece las bases científicas de la antropología musical actual. La obra de Eximeno constituye así una temprana antropología de la música, en el siglo XVIII. (A

On the Hidden Side of Liquidity

An important number of stock exchanges allow market participants to enter limit orders without revealing the full size. However, there is a lot of controversy over the use and consequences of hidden orders, since they embrace a complex interaction between order exposure risk, market liquidity and transparency. Our study focuses on the motives of submitting undisclosed limit orders to trade as well as on the market response when the presence of these orders is publicly revealed. Using data from the Spanish Stock Exchange, we find that hidden orders emerge in periods of intense trading activity and extremely high liquidity. Our results find no evidence that the undisclosed volume is used as a defensive strategy against parasitic traders. On the contrary, we provide support to the notion that liquidity suppliers use hidden orders to mitigate adverse selection costs. We also report that hidden orders temporally increase the aggressiveness of traders when they are revealed to the marketplace but, as opposed to the widespread opinion among practitioners, they have no relevant price impact