Institutional Trades and Herd Behavior in Financial Markets

The article studies the impact of transaction costs on the trading strategy of informed institutional investors in a sequential trading market where traders can choose to transact a large or a small amount of the stock. The analysis shows that high transaction costs may induce informed investors to herd. Moreover, for low levels of transaction costs, informed investors trade both the large and the small quantity of the asset. Finally, if transaction costs are very low and the market width is large enough, informed traders prefer to separate from small liquidity traders.

Learning, Cascades and Transaction Costs

This paper analyzes the effect of transaction costs on the social learning in an asset market with asymmetric information, sequential trading and competitive price mechanism. Both fixed and proportional transaction costs reduce the informational content of trading orders and lead to informational cascades. If transaction costs are very high, an informational cascade can occur not only when beliefs converge to a specific asset value, but also when in the market there is complete uncertainty about the asset's fundamental value. Finally, if the asset value in the bad state is sufficiently low, proportional transaction costs lead to an informational cascade only when prices are very high.

Transaction Costs and the Asymmetric Price Impact of Block Trades

The article examines the impact of transaction costs on the trading strategy of informed institutional investors in a sequential trading market where traders can choose to transact a large or a small amount of stock. The analysis shows how the trading strategy of informed investors and the price impact of their trades depends on market conditions. The main prediction of the model is that institutional buyers are, on average, more aggressive than institutional sellers in bearish markets and less aggressive in bullish markets. Hence, the price impact is higher for purchases when market conditions are bearish, while it is higher for sales when market conditions are bullish. However, this asymmetry vanishes during strongly bearish or bullish phases, when information-based orders stop because the informational advantage of institutional investors becomes too small with respect to the transaction costs

A Simple Impossibility Result in Behavioral Contract Theory

The paper analyses, within a moral hazard scenario, a contract between an agent with anticipatory emotions and a principal who responds strategically to those emotions. The agent receives a private signal on the profitability of the task he was hired for. If the signal is informative about the return from effort, the agent would benefit from knowing accurate news. However, if the agent derives utility from the anticipation of his final payoff, the suppression of a bad signal may induce a positive interim emotional effect. We show that it may be impossible to achieve the first-best, even though the risk-neutral parties are symmetrically informed at the contracting stage and complete contracts can be written.Hidden action, anticipatory utility.

Transaction costs and the asymetric price impact of block trades

The article examines the impact of transaction costs on the trading strategy of informed institutional investors in a sequential trading market where traders can choose to transact a large or a small amounts of stock. The analysis shows how the trading strategy of informed investors and the price impact of their trades depends on market conditions. The main prediction of the model is that institutional buyers are, on average, more aggressive than institutional sellers in bearish markets and less aggressive in bullish markets. Hence, the price impact is higher for purchases when market conditions are bearish, while it is higher for sales when market conditions are bullish. However, this asymmetry vanishes during strongly bearish or bullish phases, when information-based orders stop because the informational advantage of institutional investors becomes too small with respect to the transaction costs

A simple impossibility result in behavioral contract theory

The paper analyses, within a moral hazard scenario, a contract between an agent with anticipatory emotions and a principal who responds strategically to those emotions. The agent receives a private signal on the profitability of the task he was hired for. If the signal is informative about the return from effort, the agent would benefit from knowing accurate news. However, if the agent derives utility from the anticipation of his final payoff, the suppression of a bad signal may induce a positive interim emotional effect. We show that it may be impossible to achieve the first-best, even though the risk-neutral parties are symmetrically informed at the contracting stage and complete contracts can be written

Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence

This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information effects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information effects of sell trades. We develop a theoretical model which predicts that this difference is greater in bear markets than bull markets, consistent with the (almost counter-intuitive) proposition that buy trades are relatively more informed in bear markets. Using a sample of trades executed on the NYSE in bull and bear market periods, we find evidence consistent with our primary theoretical model

Optimal compensation contracts for optimistic managers

We study an employment contract between an (endogenously) optimistic manager and realistic investors. The manager faces a trade-off between ensuring that effort reflects accurate news and savoring emotionally beneficial good news. Investors and manager agree on optimal recollection when the weight the manager attaches to anticipatory utility is small. For intermediate values investors bear an extra-cost to make the manager recall bad news. For large weights investors renounce inducing signal recollection. We extend the analysis to the case in which anticipatory utility is the manager’s private information and derive testable predictions on the relationship between personality traits, managerial compensation and recruitment policies

p53 status identifies triple negative breast cancer patients who do not respond to adjuvant chemotherapy

Genomic analysis and protein expression assimilate triple-negative breast cancers (TNBC) with basal-like breast tumors. TNBCs, however, have proved to encompass also tumors with normal-like phenotype and known to have favorable prognosis and to respond to chemotherapy. In a recent paper, we have provided evidence that p53 status is able to subdivide TNBCs into two distinct subgroups with different outcome, and consistent with basal- and normal-like phenotypes. Based on this finding, we explored the contribution of p53 status in predicting the response to adjuvant CMF or CMF followed doxorubicin chemotherapy of a group of TNBC patients. Results indicated that TNBC patients with a p53-positive tumor had a shorter relapse-free and overall survival than patients carrying a p53-negative TNBC, corroborating our hypothesis about the relationship between TNBC phenotype (basal-like versus normal-like) and p53 status as predictor of response to antracycline/CMF-based chemotherapy

Nanoporous Ge electrode as a template for nano-sized (<5 nm) Au aggregates

none8In this paper we present the extremely peculiar electrical properties of nanoporous Ge. A full and accurate electrical characterization showed an unexpected and extremely high concentration of positive carriers. Electrochemical analyses showed that nanoporous Ge has improved charge transfer properties with respect to bulk Ge. The electrode behavior, together with the large surface-to-volume ratio, make nanoporous Ge an efficient nanostructured template for the realization of other porous materials by electrodeposition. The pores were efficiently decorated by Au nanoparticles of diameter as low as 1–5 nm, prepared by electrochemical deposition. These new results demonstrate the potential and efficient use of nanoporous Ge as a nanostructured template for nano-sized Au aggregates, opening the way for the realization of innovative sensor devices.openG.Impellizzeri; L.Romano; B.Fraboni; E. Scavetta; F.Ruffino; C.Bongiorno; V. Privitera; M.G.GrimaldiG.Impellizzeri; L.Romano; B.Fraboni; E. Scavetta; F.Ruffino; C.Bongiorno; V. Privitera; M.G.Grimald