Speaker: Timur Behlul, AlphaBeta Seminar Date: Tuesday August 1 12:00pm Brief abstract: Macro-economic data such as GDP typically undergoes many revisions prior to the final release. These revisions go on for several quarters, and can be quite significant. Yet many practitioners attempting to forecast current quarter GDP (now-casting) use the latest vintage of data. This is problematic, as using the
Seasoned equity offerings (SEOs) are widely regarded as one of the most important capital structure events for listed companies. CMCRC researchers show brokers affiliated with SEO managers gain additional market share during SEOs as compared to unaffiliated brokers. This could be interpreted as contributing to compensation for management and underwriting services. Jimmy Liu PhD candidate,
A new study by CMCRC researchers suggests that companies may be able to influence the level of algorithmic trading (AT) by adjusting their price level. The research shows that, stocks with lower relative tick size experience faster cancelation, deletion or trade times and higher order to trade ratios vis-à-vis firms with larger relative ticks. The
Motivated by ongoing debates on investment-cash flow sensitivity (ICFS), its relation to firm-level financial constraints and its documented decline in the U.S., we investigate the determinants of cross-country and time-series variation in ICFS. Using firm-level data across 45 countries for the 1991–2010 period, we document a strong decline in ICFS for both developed and emerging
Speaker: Stella Xu Seminar Date: Tuesday June 20 12:00pm Brief abstract: Many of us may have heard of high frequency trading, but most of us may not realize that a large proportion of the ads that we see online are bought at real time as well. Demand side platforms such as The Trade Desk use different data sources to
A new study by CMCRC researchers James Melouney and Dr. Matthew Clifton report that a trading strategy based on short-selling information can be used to develop several stock portfolios, achieving annual returns ranging from 0.2118% to 6.3015% after transaction costs. Short-selling refers to the selling of stocks one does not currently own and subsequently purchasing