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We examine how mutual fund flows that are correlated with subsequent fund returns can have a dilution impact on the performance of open-end funds. Active trading of open-end funds has a meaningful economic impact on the returns of passive, nontrading shareholders, particularly in U.S.-based...
We examine the book-building method for marketing IPOs. In our model, the underwriter selects a group of investors along with a pricing and allocation mechanism to maximize (at minimum cost) the information generated during the process of going public. We also address the moral hazard problem...
Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Order imbalance increases following...
We use new fully functional methods to describe and study the dynamics of the short-term interest rate process in continuous-time. The suggested procedure exploits the spatial properties, embodied in the local time process, of the diffusion of interest, and is robust against deviations from...
We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the...
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