The role of institutional investors in seasoned equity offerings

Chemmanur, Thomas J.; He, Shan; Hu, Gang

doi:10.1016/j.jfineco.2008.12.011

Cited by 239 publications

(154 citation statements)

References 32 publications

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“…Previous academic studies that use Ancerno's data include Anand et al (2010), Goldstein et al (2009), Chemmanur, He, and Hu (2009), Goldstein, Irvine, and Puckett (2010, and Puckett and Yan (2011).…”

Section: Iiib Measuring Institutional Trading Costmentioning

confidence: 99%

A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors

Tong

2013

SSRN Journal

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Combining data on high frequency trading (HFT) activities of a randomly selected sample of 120 stocks and data on institutional trades, I find that HFT increases the trading costs of traditional institutional investors. One standard deviation increase in the intensity of HFT activities increases institutional execution shortfall costs by a third. Further analysis suggests that HFT represents as an ephemeral and extra-expensive source of liquidity provision when demand and supply among institutional investors are imbalanced, and that the impact on institutional trading costs is most pronounced when high frequency (HF) traders engage in directional strategies (e.g., front-running).I perform various analyses to rule out an alternative explanation that HF traders are attracted to stocks that have high trading costs. First, HFT is most active on liquid stocks. Second, the results are robust to the controls for stable stock liquidity characteristics and events that might jointly affect HFT and trading costs. Third, an analysis of the HFT behavior around the temporary short selling ban in September 2008 highlights the opportunistic nature of liquidity provision by HF traders. Finally, Granger causality tests show that intensive HFT activity significantly contributes to institutional trading costs, but not vice versa.

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Section: Iiib Measuring Institutional Trading Costmentioning

confidence: 99%

A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors

Tong

2013

SSRN Journal

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“…Also, there is another class of anomalies that simply could be referred to as "temporal" because of the time-series (timing) functionality involved. In this article we have discussed one of these "temporal" anomalies, called the temporal leveraged ETF market anomaly (Chemmanur, He, & Hu, 2009;Wilder, 1978;Campbell et al, 2014;Livermore, 1940Livermore, /2001.…”

Section: Conclusion and Discussionmentioning

confidence: 99%

The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF

Basdekidou¹

2017

IJEF

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The main goal of this paper is to introduce the leveraged ETF die-down price action technical market anomaly (leveraged ETF anomaly), and then to discuss the temporal dimension and the subsequent (time-series) functionalities of this anomaly (temporal leveraged ETF anomaly). Our approach not only challenging the efficient-market hypothesis with regards to constantly declining leveraged ETF price action course, but also has a temporal dimension because it uses the Jesse Livermore's "psychological time" as parameter in both functions: (i) "emotional control" for opening position at the beginning of an intraday or short-term move and thereafter for holding this position; and (ii) in "money risk management -exit policy" for closing position. Traditional fundamental analysis theories and technical analysis rules and approaches are not able to interpret the die-down (i.e. a constantly declining in a mid-and long-term basis) leveraged ETF price action course. Instead, a rational dynamic and temporal representative agent could explain and document better this anomaly and this is the case of this article (i.e. trading exploitation functionality). The presented research shows that the proposed temporal leveraged ETF anomaly accumulates profit entirely overnight in sideways and in choppy markets, while in a trending market the profit occurs intraday. These findings for the leveraged ETF instruments reject classical theories of trending and sideways markets returns. Hence, (i) in a sideways or in a choppy market, a well designed overnight-position return strategy based on temporal leveraged ETF anomaly; and (ii) in a trending market, a well designed daytime-position return strategy based on temporal leveraged ETF anomaly as well, could gain benefit at the expense of hedgers and long-term investors respectively. After back-testing our research in available 5-year data for the JNUG 3x leveraged ETF (gold miners juniors), we found that overnight-position speculators, in sideways or choppy markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of hedgers; and daytime swing traders, in trending markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of long-term investors.

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“…The critical point in this situations is the psychological time as a warning dynamics signal (w!D) (Basdekidou & Styliadou, 2017;Campbell et. al, 2014;Chemmanur, He, & Hu, 2009). For more information and discussion about the so-called "psychological time" please see Livermore (1940Livermore ( /2001 and Lefèvre (1923Lefèvre ( /2010.…”

Section: Back-testing Etfs From Four Csr/cse Categoriesmentioning

confidence: 97%

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Basdekidou¹

2017

IJEF

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In investment and trading, different CSR/CSE (Corporate Social Responsibility/Corporate Social Entrepreneurship) moral ethical firms, categorized in a number of groups, may be suitable for different financial instruments (i.e. USA sector ETFs) and different market volatility situations. For the purpose of this article we first (i) analyze the trading return performance of four CSR/CSE categories (in particular: green building, green products, green services, and green transportation); and then (ii) examine and comment the correlation between the market performance of a number of firms belonging in these four CSR/CSE categories and historical ETF market volatility. Finally, we (iii) suggest CSR firms as trading tools according to dominant market volatility. Other CSR/CSE categories (like: sustainability, executive sustainability, renewable energy, green IT, green ICT, etc.) would be examined in future research by following the introduced by this paper approach. Paper concludes that, in relatively less volatile markets the Green Transportation CSR/CSE ethical firms display better results. On the other hand, in strong market volatile situations it is better to trade Green Products CSR/CSE and Green Services CSR/CSE ethical firms. Finally, the Green Building CSR/CSE ethical firms are uncorrelated with the market volatility, as well as their performance is poor in all market cases.

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The role of institutional investors in seasoned equity offerings

Cited by 239 publications

References 32 publications

A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors

A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors

The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

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