Search Results for « Price Sensitivity »

This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signals about an asset's fundamental. We find that informed traders use dark pools to mitigate their information risk and there is a sorting effect: in equilibrium, traders with strong signals trade in exchanges, traders with moderate signals trade in dark pools, and traders with weak signals do not trade. As a result, dark pools have an amplification effect on price discovery. That is, when information precision is high (information risk is low), the majority of informed traders trade in the exchange hence adding a dark pool enhances price discovery, whereas when information precision is low (information risk is high), the majority of the informed traders trade in the dark pool hence adding a dark pool impairs price discovery. The paper reconciles the conflicting empirical evidence and produces novel empirical predictions. The paper also provides regulatory suggestions with dark pools on current equity markets and in emerging markets.

This paper establishes the Price of Stability (PoS) for First Price Auctions, for all equilibrium concepts that have been studied in the literature: Bayes Nash Equilibrium $\subsetneq$ Bayes Correlated Equilibrium $\subsetneq$ Bayes Coarse Correlated Equilibrium} $\bullet$ Bayes Nash Equilibrium: For independent valuations, the tight PoS is $1 - 1/ e^{2} \approx 0.8647$, matching the counterpart Price of Anarchy (PoA) bound \cite{JL22}. For correlated valuations, the tight $\PoS$ is $1 - 1 / e \approx 0.6321$, matching the counterpart PoA bound \cite{ST13,S14}. This result indicates that, in the worst cases, efficiency degradation depends not on different selections among Bayes Nash Equilibria. $\bullet$ Bayesian Coarse Correlated Equilibrium: For independent or correlated valuations, the tight PoS is always $1 = 100\%$, i.e., no efficiency degradation, different from the counterpart PoA bound $1 - 1 / e \approx 0.6321$ \cite{ST13,S14}. This result indicates that First Price Auctions can be fully efficient when we allow the more general equilibrium concepts.

Purpose Reviews the latest management developments across the globe and pinpoints practical implications from cutting-edge research and case studies. Design/methodology/approach This briefing is prepared by an independent writer who adds their own impartial comments and places the articles in context. Findings One of the age-old business mantras to enter into common parlance is that the ‘customer is always right’, and at some stage or other we have probably invoked this or similar sentiments when arguing with somebody who has tried to sell us something that falls short of its claims. Whether it is the standard of a hotel room, an erroneous charge on a credit card bill or a faulty bread maker, when we as consumers are sure of our own rights and the sellers’ shortcomings, we will not be afraid to say so and demand some form of recompense. After all, if we want a better room, money paid back or a replacement bread maker, we should get it. Because the customer is always right. Originality/value The briefing saves busy executives and researchers hours of reading time by selecting only the very best, most pertinent information and presenting it in a condensed and easy-to-digest format.

This is a dialogue between Huw Price and Travis Norsen, loosely inspired by a letter that Price received from J. S. Bell in 1988. The main topic of discussion is Bell's views about retrocausal approaches to quantum theory, and their relevance to contemporary issues.

Purpose: The purpose of the study is to find out the relation between the stock price and investment and to explore the consequence of information asymmetry on the stock price sensitivity to investment and investment sensitivity to the stock prices for the manufacturing firms that are working in Pakistan and listed at KSE.Methodology: Study was conducted by 99 firms listed at KSE and 1386 observations for the period of 2001-2014. Empirical studies were conducted based on two hypotheses by using price non-synchronous, price delay, firms' size and age as a proxy of asymmetric information and change in asset as a measure of investment.Findings: Overall results show that there is an insignificant negative correlation between the sensitivity of investment to stock prices and there is an insignificant positive correlation between the sensitivity of stock prices to the investment. The critical findings of the study are that the management must learn from the market during the decision making.Practical Implications: The research has significant impact on investors, firm management, Government and as well as for the young potential in the field of research.Originality/Value: The paper fills the research gap. It studies the impact of asymmetric information on the investment sensitivity to stock price, and the stock price sensitivity of investment in Karachi stock Exchange (Pakistan) for the first time.

We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a CAT(spread) option written on that index using utility indifference pricing.

We present MULTIGRAIN, an algorithm for simulating multiple phases of small dust grains embedded in a gas, building on our earlier work in simulating two-phase mixtures of gas and dust in SPH (Laibe & Price 2012a,b; Price & Laibe 2015). The MULTIGRAIN method (Hutchison, Price & Laibe 2018) is more accurate than single-phase simulations because the gas experiences a backreaction from each dust phase and communicates this change to the other phases, thereby indirectly coupling the dust phases together. The MULTIGRAIN method is fast, explicit and low storage, requiring only an array of dust fractions and their derivatives defined for each resolution element. We demonstrate the MULTIGRAIN algorithm on test problems related to the settling of dust in the discs of gas around young stars, where solar systems are born. Finally I will discuss possible extensions of the method to incorporate both large and small grains, together with recent improvements in our numerical techniques for gas and dust mixtures. In particular, I will show how the 'overdamping' problem identified by Laibe & Price (2012a) can be solved.

ABSTRACT This study explores whether managers learn from stock prices when deciding on advertising expenditures. Analysing U.S. firms from 1994 to 2021, we find that higher stock price informativeness increases firms' advertising expenditure‐to‐price sensitivity. The results are validated using DiD estimation based on Regulation SHO and IV analyses. No correlation is found between stock price informativeness and advertising sensitivity to non‐price investment opportunities. Better price informativeness also strengthens the impact of advertising on sales. Finally, the positive effect of price informativeness on advertising expenditure‐to‐price sensitivity weakens in larger, older firms and strengthens in firms with higher product similarity and industry concentration.