Information transmission around block trades on the Spanish stock market

Current fmancial research is placing increasing attention on the effects of large transactions, or Block Trades (BT), on the fmancial markets. In order to analyze whether BT transmit information, we assume that information can be better reflected by changes in asset true value, proxied by the midpoint of bid-ask best quotes, instead of transactions prices or returns. Moreover, following market microstructure literature, we also look at changes in relative spread and in their adverse selection component. The Madrid Stock Exchange offers us a particularly appropriate testing ground for examining these issues, since this topic has not been facilitated as in other markets till 1998. We analyze 195 BT, classified according with trading volume, the side of the market initiating the BT (buyer, seller or indeterminate initiated), its type (inside the spread, sweeping or not classified) and if they change or not the asset true value. The main result of the paper is that it seems that there is BT information transmission when we look at adverse selection spread component in the different subsample classification, but there is no significant permanent effect in returns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component

The extremely asymmetric radio structure of the z=3.1 radio galaxy B3 J2330+3927

We report on 1.7 and 5.0 GHz observations of the z=3.087 radio galaxy B3 J2330+3927, using the Very Long Baseline Array (VLBA), and archival 1.4 and 8.4 GHz Very Large Array (VLA) data. Our VLBA data identify a compact, flat spectrum (\alpha_{1.7 GHz}^{5 GHz} = -0.2 +/- 0.1; S_\nu ~ \nu^\alpha) radio component as the core. The VLA images show that the fraction of core emission is very large (f_c \approx 0.5 at 8.4 GHz), and reveal a previously undetected, very faint counterjet, implying a radio lobe flux density ratio R >= 11 and a radio lobe distance ratio Q \approx 1.9. Those values are much more common in quasars than in radio galaxies, but the optical/near-IR spectra show a clear type II AGN for B3 J2330+3927, confirming that it is indeed a radio galaxy. Unlike all other radio galaxies, the bright Ly-\alpha emitting gas is located towards the furthest radio arm. We argue against environmental and relativistic beaming effects being the cause of the observed asymmetry, and suggest this source has intrinsically asymmetric radio jets. If this is the case, B3 J2330+3927 is the first example of such a source at high redshift, and seems to be difficult to reconcile with the unified model, which explains the differences between quasars and radio galaxies as being due to orientation effects.Comment: 6 pages, 3 figures, to appear as a Letter to MNRA

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