The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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DISCUSSION
Published: 05/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00664.x
Robert A. Schwartz
Market Sidedness: Insights into Motives for Trade Initiation
Published: 01/23/2009 | DOI: 10.1111/j.1540-6261.2008.01437.x
ASANI SARKAR, ROBERT A. SCHWARTZ
We infer motives for trade initiation from market sidedness. We define trading as more two‐sided (one‐sided) if the correlation between the number of buyer‐ and seller‐initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one‐sided before merger news. Consistent with belief heterogeneity, trading is more two‐sided before earnings and macro announcements with greater dispersion in analyst forecasts, and after news with larger announcement surprises. We examine the codeterminacy of sidedness, bid‐ask spread, volatility, number of trades, and order imbalance.
Limit Order Trading
Published: 12/01/1996 | DOI: 10.1111/j.1540-6261.1996.tb05228.x
PUNEET HANDA, ROBERT A. SCHWARTZ
We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short‐term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.
On Time‐Variance Analysis: Reply
Published: 12/01/1979 | DOI: 10.1111/j.1540-6261.1979.tb00074.x
ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
The Trading Decision and Market Clearing under Transaction Price Uncertainty
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04935.x
THOMAS S. Y. HO, ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.