DOCSLIB.ORG

Essays on Market Microstructure

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Essays on Market Microstructure Ekonomi och samhälle Economics and Society Skrifter utgivna vid Svenska handelshögskolan Publications of the Hanken School of Economics Nr 197 Arto Thurlin Essays on Market Microstructure Price Discovery and Informed Trading Helsinki 2009 < Essays on Market Microstructure: Price Discovery and Informed Trading Keywords: market microstructure, price discovery, informed trading, tick data, cross- listing, market transparency, event study, macroeconomic data, equities. © Hanken School of Economics & Arto Thurlin Arto Thurlin Hanken School of Economics Department of Finance and Statistics P.O.Box 479, 00101 Helsinki, Finland Distributor: Library Hanken School of Economics P.O.Box 479 00101 Helsinki, Finland Telephone: +358-40-3521 376, +358-40-3521 265 Fax: +358-40-3521 425 E-mail: [email protected] http://www.hanken.fi ISBN 978-952-232-032-2 (printed) ISBN 978-952-232-033-9 (PDF) ISSN 0424-7256 Edita Prima Ltd, Helsinki 2009 i PREFACE Most of this research was carried out at the Department of Finance and Statistics at the Hanken School of Finance in Helsinki. I would like to express my deepest gratitude to the Head of the Department, Professor Eva Liljeblom, for providing the resources to conduct this research, including extensive intraday databases and the computing power needed to analyze the data. I am also indebted to the two other members of my Thesis Advisory Committee, Assistant Professor Anders Ekholm and Professor Mats Hansson, who provided me with innumerable valuable comments and suggestions. I am particularly pleased that many of our discussions with Anders took place in the soothing environment of a traditional Finnish smoke sauna, and during invigorating bicycle rides. I also conducted part of this research as a Visiting Scholar at HEC in Paris and the Australian School of Business at UNSW in Sydney. I would therefore also like to thank Professor Thierry Foucault, Professor Peter Swan and Senior Lecturer Joakim Westerholm for stimulating talks, comments, and ideas during these research visits. I also wish to thank Mikko Leppämäki, Director of the Graduate School of Finance, for organizing excellent opportunities for presenting my work at seminars and workshops. Mikko also arranged for me to meet with several excellent researchers in my field, and in this way also made my first overseas visit possible. I am also greatly indebted to the external examiners of the thesis, Professor Erik Theissen and Professor Thierry Foucault. This thesis benefited greatly from their perceptive, constructive and detailed comments. My colleagues at the Department of Finance and Statistics have been a source of both inspiration and fun during my years at Hanken. I have had the pleasure to work with Anders Wilhelmsson, Andriy Andreev, Annika Sandström, Benjamin Maury, Bernard Ben Sita, Doureige Jurdi, Erkki Nikoskelainen, Hanna Westman, Hans-Kristian Sjöholm, Jan Antell, Karl Felixson, Magnus Blomkvist, Mari Hintikka, Niklas Ahlgren, Nikolas Rokkanen, Olga Karakozova, Peter Nyberg, Sheraz Ahmed, and many others. I gratefully acknowledge financial support from Stiftelsen Svenska handelshögskolan, CEFIR, Näringslivets fond, Stiftelsen för främjandet av värdepappersmarknaden i Finland, Bröderna Ernst och Lars Krogius forskningsfond, Säästöpankkien tutkimussäätiö, Nordea pankin säätiö, and OP-Ryhmän tutkimussäätiö. Finally, I want to thank my parents, Airi and Juhani, sine quibus non. ii iii CONTENTS PREFACE ....................................................................................................... I CONTENTS ................................................................................................... 3 THEORETICAL BACKGROUND AND MAIN FINDINGS .......................... 1 1 Introduction .......................................................................................................... 3 2 Relevant earlier research ...................................................................................... 5 3 Econometric methodology ................................................................................... 7 4 Data and exchanges .............................................................................................15 5 Summary of the essays ........................................................................................ 17 6 Conclusions ......................................................................................................... 19 References ..................................................................................................................... 20 THE ESSAYS ............................................................................................... 27 ESSAY 1: PRICE DISCOVERY FOR EUROPEAN CROSS-LISTED STOCKS ................................................................................................... 29 1 Introduction ........................................................................................................ 30 2 The Exchanges .................................................................................................... 33 3 Data ..................................................................................................................... 34 4 Unit root and cointegration tests ....................................................................... 37 5 Price discovery during hours of simultaneous trading ...................................... 39 6 Cross-sectional analysis ...................................................................................... 42 7 Conclusions ......................................................................................................... 49 References ......................................................................................................................51 ESSAY 2: PRE-TRADE TRANSPARENCY, MARKET QUALITY, AND INFORMED TRADING .......................................................................... 55 1 Introduction ........................................................................................................ 56 2 Institutional details and the dataset .................................................................. 60 3 Informed trading ................................................................................................ 62 4 Empirical analysis ............................................................................................... 66 5 Conclusions ......................................................................................................... 79 References ..................................................................................................................... 80 iv ESSAY 3: MACROECONOMIC ANNOUNCEMENTS AND CROSS- LISTED STOCKS .................................................................................... 85 1 Introduction ........................................................................................................ 86 2 Data ..................................................................................................................... 88 3 Price discovery .................................................................................................... 91 4 Results ................................................................................................................. 94 5 Conclusions ....................................................................................................... 106 References ................................................................................................................... 107 ESSAY 4: INTRA-MARKET PRICE DISCOVERY: ARE LOCAL OR FOREIGN INVESTORS MORE INFORMED? ..................................... 111 1 Introduction ....................................................................................................... 112 2 Data sample ........................................................................................................ 114 3 Local and foreign trading .................................................................................. 117 4 Analysis of price discovery ................................................................................ 121 5 Cross-sectional regression ................................................................................ 128 6 Conclusions ........................................................................................................ 131 References ................................................................................................................... 132 APPENDICES Essay 1 Appendix 1 ......................................................................................................................... 50 v TABLES Essay 1 Table 1 Summary statistics of sample companies ....................................................... 36 Table 2 Error Correction Model (ECM) estimation results ......................................... 41 Table 3 Shares of price discovery ................................................................................. 43 Table 4 The explanatory variables ................................................................................ 46 Table 5 Cross-sectional results ..................................................................................... 48 Table 6 The number of zero-return intervals ............................................................... 50 Essay 2 Table 1 Descriptive statistics ........................................................................................ 61 Table 2 Univariate results, pre-change (non-anonymous) and post-change
Load more

Recommended publications
  • Financial Markets and Trading Founded in 1807, John Wiley & Sons Is the Oldest Independent Publishing Company in the United States
    Financial Markets and Trading Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and market- ing print and electronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce, risk management, financial engineering, valuation, and financial instrument analysis, as well as much more. For a list of available titles, visit our web site at www.WileyFinance.com. Financial Markets and Trading An Introduction to Market Microstructure and Trading Strategies ANATOLY B. SCHMIDT John Wiley & Sons, Inc. Copyright # 2011 by Anatoly B. Schmidt. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions.
    [Show full text]
  • Market Microstructure and Corporate Finance
    Journal of Corporate Finance 9 (2003) 377–384 www.elsevier.com/locate/econbase Market microstructure and corporate finance Marc L. Lipson* Terry College of Business, University of Georgia, Athens, GA 30602, USA Received 20 October 2002; accepted 24 October 2002 Abstract This article provides a brief overview of the importance of market microstructure research and identifies existing areas of research that focus on links between microstructure and corporate finance. Each of the special issue articles is then summarized with particular attention given to the research contribution of the article and to the links explored between microstructure and corporate finance. D 2002 Elsevier Science B.V. All rights reserved. Keywords: Market microstructure; Stock; Corporate finance These trees are magnificent, but even more magnificent is the sublime and moving space between them. Rainer Rilke.1 While the growing complexity of both theoretical constructs and empirical method- ologies leads to ever more specialized research, a healthy preoccupation with the meaning and relevance of our research still ensures we never loose sight of the forest for the trees.2 Furthermore, an honest fascination with the myriad details and nuances of our work ensures that every tree gets more than a passing glance. What Rilke so elegantly reminds us, is to devote at least some of our attention to those topics that lie between established lines of inquiry. This special issue explores just such a set of topics—those that combine corporate finance with market microstructure.3 * Tel.: +1-706-542-3644; fax: +1-706-542-9434. E-mail address: [email protected] (M.L.
    [Show full text]
  • Market Fragmentation
    Market Fragmentation By Daniel Chen and Darrell Duffie∗ We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves al- locative efficiency. Fragmentation reduces the inhibiting e↵ect of price-impact avoidance on order submission. Although fragmenta- tion reduces market depth on each exchange, it also isolates cross- exchange price impacts, leading to more aggressive overall order submission and better rebalancing of unwanted positions across traders. Fragmentation also has implications for the extent to which prices reveal traders’ private information. While a given exchange price is less informative in more fragmented markets, all exchange prices taken together are more informative. JEL: G14, D47, D82 Keywords: market fragmentation, price impact, allocative effi- ciency, price discovery In modern financial markets, many financial instruments trade simultaneously on multiple exchanges (Eric Budish, Robin Lee and John Shim, 2019; Carole Gresse, 2012; Emiliano Pagnotta and Thomas Philippon, 2018). This fragmenta- tion of trade across venues raises concerns over market depth. One might therefore anticipate that fragmentation worsens allocative efficiency through the strategic avoidance of price impact, which inhibits beneficial gains from trade (Vayanos, 1999; Du and Zhu, 2017). Fragmentation might seemingly, therefore, lead to less aggressive trade, which could in turn impair the informativeness of prices, relative to a centralized market in which all trade flows are consolidated. Perhaps sur- prisingly, we o↵er a simple model of how fragmentation of trade across multiple exchanges, despite reducing market depth, actually improves allocative efficiency and price informativeness. In the equilibrium of our market setting, the option to split orders across dif- ferent exchanges reduces the inhibiting e↵ect of price-impact avoidance on total order submission.
    [Show full text]
  • Ownership Structure and Market Liquidity – Sectorial Evidence from India
    CORE Metadata, citation and similar papers at core.ac.uk Provided by International Institute for Science, Technology and Education (IISTE): E-Journals Research Journal of Finance and Accounting www.iiste.org ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online) Vol.5, No.19, 2014 Ownership Structure and Market Liquidity – Sectorial Evidence From India Suresha B Associate Professor, Department of Management Studies, Christ University, Bangalore-029 Research Scholar, Bharathiar University, Coimbatore - 641046 Dr.N.Murugan, Professor, PSNA College of Engineering, Dindigul – 624622 Abstract A firm’s ownership consists of shares held by promoters, public, institutions and other bodies. Ownership concentration in fewer hands leads to amplified agency cost and information asymmetry and impinge on the firm’s performance and market liquidity. Given the large number of liquidity measures and methodologies employed both by practitioners and academic researchers, this paper examines the market liquidity using impact cost, turnover ratio and coefficient of elasticity of trading. Looking at the logic behind their construction, and how they relate to each other and its relation with constituents of firm’s ownership structure, this study also attempts to find the relationship between the ownership structure and liquidity indicators. NSE Banking index stocks were taken as the sample for the period from July 2013 to June 2014. It is observed that the market liquidity as measured by impact cost and turnover ratio is not influenced by promoter group holding, institutions shareholders and non institutions shareholders and it confirms the findings of Paul Brockman, Dennis Y. Chung, and Xuemin (Sterling) Yan (2009). However, promoter group holding and institutions shareholding are significant explanation variables for market liquidity as measured by coefficient of trading model.
    [Show full text]
  • Economic Bulletin 3/2006. Is the Market Microstructure of Stock
    Is the market microstructure of stock markets important? Randi Næs, senior adviser, and Johannes Skjeltorp, researcher, both in the Research Department The market microstructure literature studies how the actual transaction process – i.e. how buyers and sellers find one another and agree on a price – can affect price formation and trading volumes in a market. This article provides an introduction to the concepts, frameworks and most important themes in this literature. The market serves two functions: one is to provide liquidity for buyers and sellers; the other is to ensure that prices reflect relevant information about fundamental value. Microstructure models differ from tra- ditional financial models by recognising that legitimate information about companies’ fundamentals may be unequally distributed between, and differently interpreted by, market participants. We can therefore no longer assume that prices will reflect information immediately even if all participants are rational. The microstructure literature argues that both information risk due to asymmetric information and differences in liquidity over time and between companies impact on long-term equilibrium prices in the market. 123 1 Introduction (information models) analyses how information which is asymmetrically distributed between participants in If participants in the stock market behave rationally the market is reflected in the prices of securities. and have the same information, share prices will at all Research into the significance of market structure times reflect all available information about companies’ and trading rules is the subject of section 3 below. The fundamental value. Since it was first advanced in the importance of the organisation and design of the stock 1960s, this has been one of the most important hypoth- market came to the fore in the wake of the crash of eses in financial economics.
    [Show full text]
  • Financial Market Bubbles and Crashes
    Financial Market Bubbles and Crashes One would think that economists would by now have already developed a solid grip on how financial bubbles form and how to measure and compare them. This is not the case. Despite the thousands of articles in the professional literature and the millions of times that the word “bubble” has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study bubble and crash conditions. This book presents what is meant to be a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances this framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side – rationed demand. From this basic idea, an elasticity of variance concept is developed. The notion that easy credit provides fuel for bubbles is supported. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk–premium models in a way that is consistent with conventional theory. Harold L. Vogel was ranked as top entertainment industry analyst for ten years by Institutional Investor magazine and was the senior entertainment industry analyst at Merrill Lynch for seventeen years. He is a chartered financial analyst (C.F.A.) and served on the New York State Governor’s Motion Picture and Television Advisory Board and as an adjunct professor at Columbia University’s Graduate School of Business. He also taught at the University of Southern California’s MFA (Peter Stark) film program and at the Cass Business School in London.
    [Show full text]
  • Market Microstructure During Financial Crisis
    This paper is appearing in the Finance Research Letters. Please cite this article as: Ormos, M., Timotity, D., Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading, Finance Research Letters (2016), DOI: 10.1016/j.frl.2016.06.003 This is the pre-print version of our accepted paper before typesetting. Market Microstructure During Financial Crisis Dynamics of Informed and Heuristic-Driven Trading1 MIHÁLY ORMOS Department of Finance, Budapest University of Technology and Economics Magyar tudosok krt. 2., 1117 Budapest, Hungary Phone: +36 1 4634220; Fax: +36 1 4632745 [email protected] DUSAN TIMOTITY Department of Finance, Budapest University of Technology and Economics Magyar tudosok krt. 2., 1117 Budapest, Hungary Phone: +36 1 4634220; Fax: +36 1 4631083 [email protected] Abstract We implement a market microstructure model including informed, uninformed and heuristic- driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability of heuristic-driven trading (PH) remains constant both before and after the collapse of Lehman Brothers. Cross-sectional analysis yields that, unlike PIN, PH is not sensitive to size and volume effects. We show that heuristic-driven traders are universally present in all market segments and their presence is constant over time. Furthermore, we find that heuristic-driven investors and informed traders are disjoint sets. Keywords: market microstructure; heuristic-driven trader; probability of informed trading; probability of heuristic-driven trading; contrarian trader; size effect; volume effect JEL codes: D47; D53; D82; G02 1 Acknowledgements: We highly appriciate the comments and suggestions of Niklas Wagner.
    [Show full text]
  • High-Frequency Trading During Flash Crashes: Walk of Fame Or Hall of Shame?
    A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; Pelizzon, Loriana; Renò, Roberto Working Paper High-frequency trading during flash crashes: Walk of fame or hall of shame? SAFE Working Paper, No. 270 Provided in Cooperation with: Leibniz Institute for Financial Research SAFE Suggested Citation: Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; Pelizzon, Loriana; Renò, Roberto (2020) : High-frequency trading during flash crashes: Walk of fame or hall of shame?, SAFE Working Paper, No. 270, Leibniz Institute for Financial Research SAFE, Frankfurt a. M., http://dx.doi.org/10.2139/ssrn.3560238 This Version is available at: http://hdl.handle.net/10419/215430 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative Commons Licences), you genannten Lizenz gewährten Nutzungsrechte. may exercise further usage rights as specified in the indicated licence.
    [Show full text]
  • Linking Historical Market Crashes: a Market Microstructure Model and Statistical Evidence
    Linking Historical Market Crashes: A Market Microstructure Model and Statistical Evidence by Yuan Mao A dissertation submitted in partial satisfaction of the requirements for the degree of Doctor of Philosophy in Engineering - Industrial Engineering and Operations Research in the Graduate Division of the University of California, Berkeley Committee in charge: Professor Xin Guo, Chair Professor Terrence Hendershott Professor Ilan Adler Summer 2015 Linking Historical Market Crashes: A Market Microstructure Model and Statistical Evidence Copyright 2015 by Yuan Mao 1 Abstract Linking Historical Market Crashes: A Market Microstructure Model and Statistical Evidence by Yuan Mao Doctor of Philosophy in Engineering - Industrial Engineering and Operations Research University of California, Berkeley Professor Xin Guo, Chair Studies of stock market crashes are as sparse as the occurrence of crashes. The main- stream theoretical models on stock market crashes are rooted in rational expectations equi- librium models and classical market microstructure models. Compared to theoretical works, there are even fewer works done on the empirical side. This is because most of the theo- retical models do not provide straightforward tests against empirical data. Secondly, the relatively small sample size (rare occurrence) of stock market crashes is always an obstacle for empirical testing. In this dissertation, we build a strategic trading model to link two major US stock market crashes: the 1987 crash and the 2010 Flash Crash. We then provide cross-sectional empirical evidence to verify our model hypothesis and evaluate price impact due to the information asymmetry effect and the limited risk-bearing capacity effect. We use statistical learning methods to compare our model based predictors with other predictors for the maximum cross-sectional price drawdown of SP500 stocks during the 2010 Flash Crash and check the robustness of our findings.
    [Show full text]
  • Fragmentation and Price Discovery Dynamics: the Contributions of Multilateral Trading Facilities and Regulated Market$
    Fragmentation and price discovery dynamics: The contributions of Multilateral Trading Facilities and Regulated MarketI Roland Gilleta,b, Stephanie´ Ligota,∗ aSorbonne Management School (PRISM and Labex ReFi),´ University Paris 1 Pantheon´ - Sorbonne, Rue de la Sorbonne 17, F-75231 Paris Cedex 05, France bSolvay Brussels School, Free University of Brussels, Avenue F.D. Roosevelt 42, B-1050 Brussels, Belgium Abstract Since 2007, the European Markets in Financial Instruments Directive (MiFID) has ended the national rule of order concentration and the directive has increased the fragmentation among the trading venues. This paper examines the price discovery dynamics for cross-listed CAC40 stocks, through the Information Shares metric, over the years 2012 and 2013 for three key places: NYSE Euronext Paris, BATS Europe and Chi-X Europe. We use the high- frequency order flow on individual stocks to study the monthly contribution of the Regulated Market (Euronext Paris) and Multilateral Trading Facilities (BATS and Chi-X Europe) to the price discovery by using the spread midpoint on the best limits at one-second intervals. We observe that the Multilateral trading facilities contribute significantly to the price discovery dynamics. The revision of MiFID should enhance the trade-through protections, and unified trade and price reporting protocols to avoid that fragmentation is detrimental on the market quality after the Brexit. Keywords: Market microstructure, Security market regulation, Price discovery dynamics JEL Classification: G12, G14, G18 IWe
    [Show full text]
  • Flaws in Financial Market Microstructure
    FINDING – AND FIXING – FLAWS IN FINANCIAL MARKET MICROSTRUCTURE Brian F. Mannix* [ 5/31/’16 Draft Submission to JLEP. NumWords = 9,171. ] Abstract: The automation of financial trading has dramatically reduced the cost of transactions, but at the same time has raised persistent questions about the effect of automation on market fairness, stability, and economic efficiency. This paper argues that there are indeed flaws in market microstructure, but they are not the sort that are easily addressed by regulation. Instead, technological innovation – especially the introduction of temporally buffered trading – is likely to provide a satisfactory resolution of existing problems. Temporal buffering gives market participants the option of trading more slowly, while limiting their exposure to predation by higher-speed traders. Three varieties are considered: short random delays (as used by ParFX), short fixed delays (as used by IEX), and short batched auctions (as proposed by Budish, et al). Contrary to a common misunderstanding, an “efficient market” cannot mean the fastest possible market, because speed incurs real resource costs. Temporal buffering allows market participants to choose their preferred speed, and improves market efficiency in two ways: it avoids wasteful expenditures on high-speed “racing,” and it reduces the transient information asymmetries that otherwise tend to be ubiquitous in high-speed markets. Regulators’ priorities should be to: (1) avoid creating barriers to constructive innovations, (2) provide a regulatory framework that allows markets operating at different speeds to co-exist, and (3) rely on competition to sort out which innovations are useful and which are not. INTRODUCTION In the 21st century, automated algorithmic trading by computers has become the dominant method of exchanging securities, commodities, derivatives, and currencies in major markets around the world.
    [Show full text]
  • Financial Market History Reflections on the Past for Investors Today
    FINANCIAL MARKET HISTORY REFLECTIONS ON THE PAST FOR INVESTORS TODAY Edited by David Chambers and Elroy Dimson FINANCIAL MARKET HISTORY REFLECTIONS ON THE PAST FOR INVESTORS TODAY Edited by David Chambers and Elroy Dimson Statement of Purpose The CFA Institute Research Foundation is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither the Research Foundation, CFA Institute, nor the publication’s edi- torial staff is responsible for facts and opinions presented in this publi- cation. This publication reflects the views of the author(s) and does not represent the official views of the CFA Institute Research Foundation. The CFA Institute Research Foundation and the Research Foundation logo are trademarks owned by The CFA Institute Research Foundation. CFA®, Chartered Financial Analyst®, AIMR-PPS®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and the Guide for the Use of CFA Institute Marks, please visit our website at www.cfainstitute.org. © 2016 The CFA Institute Research Foundation. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service. If legal advice or other expert assistance is required, the services of a competent professional should be sought.
    [Show full text]