I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.

The primary purpose of this study is to test the validity of the trading range hypothesis as a basis for stock split decisions of Turkish companies. In the first part, the liquidity effects of stock splits on Turkish stocks are examined. Second, the optimal trading ranges for different-sized firms and firms with different investor bases are determined. Finally, the main empirical question of the study is analyzed by testing whether or not Turkish firms whose share prices rise above their optimal trading ranges are more likely to split their stock compared to firms whose share prices are at or below their optimal trading ranges. The empirical findings about the level of liquidity indicate that there is a slight decline in liquidity in the post-split periods. Analysis of the relationship between firm characteristics and share prices shows that firm size has a positive effect on share prices. The effect of investor base on share prices could not be identified. Finally, the estimation of the logit model utilized in the study to determine the probability of firms to split does not reveal any statistically significant result.

This paper tests the relation between pricing efficiency and liquidity, with and without, the effects of asymmetric information. First, we show that informed trading is negatively related to liquidity. This result is consistent with previous researches, which find that informed trading reduces liquidity. Second, this report explores the direct relation between price efficiency and liquidity by applying a cross-sectional regression. The result indicates that liquidity associated with asymmetric information effects enhances pricing efficiency. The cross-sectional relation between relative informational efficiency and liquidity combed with informed trading is significantly positive. Third, we find that pure liquidity trading also contributes to price informativeness. The positive relation between relative informational efficiency and liquidity unrelated to asymmetric information cannot be rejected.

No description available.

The aim of this diploma thesis is to analyse the development of the regulatory framework and its current state according to the latest Basel III framework. The new rules were created as a response to the financial crisis that started in 2007. The framework represents significant increase in quality, amount and transparency of the capital base in comparison with the pre-crisis situation. Basel III has both micro and macroprudential focus. The diploma thesis describes the development and shortcomings of regulatory framework that necessitated revisions of the regulatory rules over time. These rules evolve with the changes in the financial system and the way how financial risks are managed. Although the roots of financial crisis are related to the mortgage-backed securities market, the banking sector played an important role in spreading the problems. Therefore the diploma thesis will also concentrate on fundamental flaws that contributed to the financial crisis. Then the immediate corrective action taken as a response to the financial crisis are described. After that, the Basel III rules are presented in detail. The newest monitoring of the rules carried out by the Basel Committe and cost analysis carried out by IMF including evaluation based on various analyses of Basel III are presented. Basel III has addressed most of the flaws revealed in Basel II. However, some issues still remain unsolved, which can lead to future problems with the financial system stability.