ORCID Profile
0000-0001-5838-7322
Current Organisation
Macquarie University
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Publisher: Wiley
Date: 24-02-2022
DOI: 10.1111/ACFI.12934
Abstract: This study examines the effect of investor birth cohorts on speculative investment preferences. Using retail trading and portfolio data from Finland over two decades, we find that in iduals who have experienced desirable macro‐economic and social conditions during adolescence, such as high gross domestic product (GDP) growth and low orce rates, are more likely to invest in speculative stocks. A positive relation is found between the proportion of speculative‐prone cohorts in the stock market and returns of stocks of lottery nature. We provide new evidence on the adverse effect of speculative investments, finding that cohorts with higher speculative investment weights on their portfolios achieve lower absolute and risk‐adjusted returns. We also provide support for earlier research that identifies a positive association between recent portfolio performance and the propensity to invest in speculative stocks.
Publisher: Elsevier BV
Date: 06-2020
Publisher: Elsevier BV
Date: 2015
Publisher: Wiley
Date: 04-10-2017
DOI: 10.1111/ACFI.12296
Publisher: Wiley
Date: 12-02-2022
DOI: 10.1111/EUFM.12355
Abstract: This study investigates the impact of MiFID II on the London Stock Exchange. We find that a tick‐size reduction leads to lower bid–ask spreads, lower trade values, reduced cost of trading at and beyond the best bid‐offer, an acceleration of quote updates, an increase in aggressive trades and a reduction in price impact. Increased tick size widens spreads and increases trading costs. Step functions reveal that liquidity adjusts opposite to the tick change. To determine if impacts are proportional, we identify potential functions that predict cost changes with tick updates, implying that traders adjust their trade sizes according to the new tick levels.
Publisher: World Scientific Pub Co Pte Lt
Date: 09-2019
DOI: 10.1142/S0219091519500206
Abstract: This study examines the price effects of investment-grade–corporate bond transactions on the Australian Securities Exchange (ASX). Results indicate that both purchases and sales of exchange traded corporate bonds incur significant transaction costs upon execution. Post execution, purchases of all sizes either experience price continuations, or no significant price reversals, suggesting the presence of information. Sales of all sizes experience complete price reversals, implying that selling corporate bonds conveys no information to the market. These results are consistent with the majority of equity market studies that document a similar asymmetry between purchases and sales. Analysis of the determinants of price effects associated with bond market trades reveals that trade-size, market conditions, underlying stock price volatility, underlying stock turnover, bid–ask spreads (BAS), and market depth are associated with the magnitude of price movements surrounding these trades. Contemporaneous equity returns appear to have no effect on the price impact of corporate bonds.
Publisher: Elsevier BV
Date: 06-2020
No related grants have been discovered for Grace Lepone.