Trading Activity in Options and Stock Around Price-Sensitive News Announcements

This study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react efficiently to positive news. However, the overreaction patterns are unique to the subsample of stocks with the lowest pre-event abnormal option/stock volume ratio (O/S). This finding suggests that the incremental benefit of option listing is related to the level of option trading activity, over and beyond the presence of an options market on the firm's stock. Finally, we find that the pre-event abnormal O/S is a better predictor of stock price patterns following a negative shock than is the pre-event O/S, implying that the former may contain more information about the future value of stocks than the latter.

Much Ado About Nothing: The Limitation of Liability and the Market for 19th century Irish Bank Stock

Abstract Limited liability is widely believed to be a prerequisite for the emergence of an active and liquid securities market because the transactions costs associated with trading ownership of unlimited liability firms are viewed as prohibitive. In this article, we examine the trading of shares in an Irish bank, which limited its liability in 1883. Using this bank’s archives, we assemble a time series of trading data, which we test for structural breaks. Our results suggest that the move to limited liability had a negligible impact upon the trading of this bank’s shares.

Hiring Incentives and Labour Force Participation in Italy

A long-standing economic tradition maintains that labour supply reacts to market tightness; its sensitivity to job quality has received less attention. If firms hire workers with both temporary and open-ended contracts, does participation increase when more permanent jobs are available? We investigate this relationship within a policy evaluation framework; in particular, we examine how labour supply reacted in Italy to a recent subsidy in favour of open-ended contracts. This subsidy increased labour force participation by 1.4% in 2001 and 2.1% in 2002. This increase was concentrated on males aged 35-54, with a low or at most a secondary schooling level.

Increased expression of fibroblast activation protein-alpha in keloid fibroblasts: implications for development of a novel treatment option.

Keloid scars are common benign fibroproliferative reticular dermal lesions with unknown etiology and ill-defined management with high rate of recurrence post surgery. The progression of keloids is characterized by increased deposition of extracellular matrix proteins, invasion into the surrounding healthy skin and inflammation. Fibroblasts are considered to be the key cellular mediators of fibrogenesis in keloid scars. Fibroblast activation protein alpha (FAP-a) and dipeptidyl peptidase IV (DPPIV) are proteases located at the plasma membrane promoting cell invasiveness and tumor growth and have been previously associated with keloid scars. Therefore, in this study we analyzed in further detail the expression of FAP-a in keloid fibroblasts compared to control skin fibroblasts. Dermal fibroblasts were obtained from punch-biopsies from the active margin of four keloids and four control skin samples. Flow cytometry was used to analyze FAP-a expression and the CytoSelect(®) 24-Well Collagen I Cell Invasion Assay was applied to study fibroblast invasion. Secretion of extracellular matrix (ECM) proteins was investigated by multiplexed particle-based flow cytometric assay and enzyme-linked immunosorbent assay. We found an increased expression of FAP-a in keloid fibroblasts compared to control skin fibroblasts (p

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.