Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?

This paper investigates the order in which new information is first reflected in the market – through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick quote data on all stocks in the Dow Jones Industrial Average. We show that indeed depths rather than spreads are first to impound new information that leads to new quote trends. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never convey information in 1998, and do so in only 8 out of 30 cases in 1995. Even in those 8 cases, the percentage of new information revealed by spreads ranges from 50 – 59% with the depths accounting for the rest. Our results have important implications for academic research on asymmetric information trading, for security market design, and for public policy.VECM, spreads, depths, information,

The Concordiensis, Volume 4, Number 4

Literary; Editorial; Correspondence; Local; Personal; Collegensia; Exchangeshttps://digitalworks.union.edu/concordiensis_1881/1000/thumbnail.jp

The Concordiensis, Volume 4, Number 1

Literary: The Difference (Poetry); Grecian Eloquence; Freedom in America Editorial: In Re; June Number Concordiensis; D. H. McFall\u27s Retirement; Cane Rush ; Sanitary Arrangements of the College; A Word on Societies; Senior Election Local: Senior Class Election; Don\u27t Rush; Field Sports; Union College Arthur Club; Union College Hancock and English Club; Freshman Class; Local Briefs Personals; Exchanges; Extraneahttps://digitalworks.union.edu/concordiensis_1880/1006/thumbnail.jp

The Concordiensis, Volume 4, Number 3

Literary: A Summer Idyl (Poetry); A Changing World; Church and State; The Love of Approbation; Night (Poetry) Editorial: Books Received; Optional Studies; Pilfered Essays; The Editors\u27 Lament; A Correction; A Plan for a Debate; Words of Praise Correspondence; Local; Personal; Exchanges; Collegiensia; Extraneahttps://digitalworks.union.edu/concordiensis_1880/1008/thumbnail.jp

The Concordiensis, Volume 4, Number 2

Literary: Nature\u27s Lesson (Poetry); Monuments; Nobility of Labor Editorial: The March of Improvement; A Word to Prof. Dean; Music; To the Class of \u2781; The Senior Vacation; The Seniors\u27 Ill-Treatment of a Prof.; The Clark Prize; Justice to the Juniors Local: Commencement Essays 1881; Adelphic Society; The Cane Rush Personals; Exchanges; Extraneahttps://digitalworks.union.edu/concordiensis_1880/1007/thumbnail.jp

How Does a Mom\u27s Nutrition Affect Her Children\u27s Health?

In some rural villages of the tiny West African nation of The Gambia, food is generally less available during August and September—the peak of the rainy season—than during a typically dry March through May. Now, a study led by molecular geneticist Robert A. Waterland of the USDA-ARS Children’s Nutrition Research Center in Houston, Texas, has shown that functioning of certain genes in kids conceived during the rainy season differs from that in children conceived during the dry season. The difference may be explained by a relatively new science referred to as “epigenetics.” The variation appears to be permanent, and in the case of two of the five genes in which it was detected, the variation may affect the kids’ risk of certain diseases. Waterland and coinvestigators have attributed the epigenetic variation to the dramatic seasonal differences in the kinds and amounts of foods available to soonto- be moms in the days and weeks around the time of conception, or what’s referred to as their “periconceptional nutrition.” The results of the study are of interest to healthcare professionals involved in improving the prenatal nutrition of these Gambian women, many of whom are, along with other family members, subsistence farmers living at or below the poverty level. But Waterland’s study is also of worldwide interest to geneticists, because it presents new, unique evidence of nutritional influences on the development of epigenetic mechanisms in humans

Running up the Bid: Modeling Seller Opportunism in Internet Auctions

Although the Internet is great for transferring information, transactions in Internet auctions have a greater information asymmetry than corresponding transactions in traditional environments because current auction market mechanisms allow the seller to remain anonymous and to easily change identities. Buyers must rely on the seller\u27s description of a product and ability to deliver the product as promised. Internet auction environments make opportunistic behavior more attractive to sellers because the chance of detection and punishment is decreased. In this research, we examine auction data to see the effect of opportunism in the online auction environment

Ultra-Low Amplitude Cepheids in the Large Magellanic Cloud

The MACHO variables of LMC Field 77 that lie in the vicinity of the Cepheid instability strip are reexamined. Among the 144 variables that we identify as Cepheids we find 14 that have Fourier amplitudes <0.05 mag in the MACHO red band, of which 7 have an amplitude <0.006 mag : we dub the latter group of stars ultra-low amplitude (ULA) Cepheids. The variability of these objects is verified by a comparison of the MACHO red with the MACHO blue lightcurves and with those of the corresponding OGLE LMC stars. The occurrence of ULA Cepheids is in agreement with theory. We have also discovered 2 low amplitude variables whose periods are about a factor of 5--6 smaller than those of F Cepheids of equal apparent magnitude. We suggest that these objects are Cepheids undergoing pulsations in a surface mode and that they belong to a novel class of Strange Cepheids (or Surface Mode Cepheids) whose existence was predicted by Buchler et al. (1997).Comment: 4 pages, 5 figures, slightly revised, to appear in ApJ Letter