ORCID Profile
0000-0001-5731-499X
Current Organisations
University of Adelaide
,
University of Technology Sydney
,
University of Sydney
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Publisher: Public Library of Science (PLoS)
Date: 20-02-2013
Publisher: Elsevier BV
Date: 05-2015
Publisher: Elsevier BV
Date: 12-2016
Publisher: Cambridge University Press (CUP)
Date: 19-04-2011
DOI: 10.1017/S0022109011000214
Abstract: This paper examines the use, determinants, and impact of anonymous orders in a market where disclosure of broker identity in the trading screen is voluntary. We find that most trading occurs nonanonymously, contrary to prior literature that suggests liquidity gravitates to anonymous markets. By strategically using anonymity when it is beneficial, traders reduce their execution costs. Traders select anonymity based on various factors including order source, order size and aggressiveness, time of day, liquidity, and expected execution costs. Finally, we report how anonymous orders affect market quality and discuss implications for market design.
Publisher: Elsevier BV
Date: 10-2015
Publisher: Elsevier BV
Date: 09-2016
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 08-2017
Abstract: We develop a parsimonious liquidity-adjusted downside capital asset pricing model to investigate whether phenomena such as downward liquidity spirals and flights to liquidity impact expected asset returns. We find strong empirical support for the model. Downside liquidity risk (sensitivity of stock liquidity to negative market returns) has an economically meaningful return premium that is 10 times larger than its symmetric analogue. The expected liquidity level and downside market risk are also associated with meaningful return premiums. Downside liquidity risk and its associated premium are higher during periods of low marketwide liquidity and for stocks that are relatively small, illiquid, volatile, and have high book-to-market ratios. These results are consistent with investors requiring compensation for holding assets susceptible to adverse liquidity phenomena. Our findings suggest that mitigation of downside liquidity risk can lower firms’ cost of capital. This paper was accepted by Lauren Cohen, finance.
Publisher: Elsevier BV
Date: 09-2013
Publisher: Wiley
Date: 28-09-2011
Publisher: Informa UK Limited
Date: 02-07-2015
Publisher: Informa UK Limited
Date: 09-2013
Publisher: Wiley
Date: 22-02-2016
DOI: 10.1002/FUT.21775
Publisher: SPIE
Date: 28-12-2005
DOI: 10.1117/12.639281
Publisher: Oxford University Press (OUP)
Date: 04-03-2013
DOI: 10.1093/ROF/RFS040
Publisher: Springer Science and Business Media LLC
Date: 27-10-2010
Publisher: Wiley
Date: 07-06-2011
Publisher: Informa UK Limited
Date: 09-2011
Publisher: Elsevier BV
Date: 08-2021
Publisher: Elsevier BV
Date: 04-2011
No related grants have been discovered for Talis Putnins.