Sugato Chakravarty - Academia.edu (original) (raw)

Papers by Sugato Chakravarty

This paper investigates the order in which new information is first reflected in the market -thro... more This paper investigates the order in which new information is first reflected in the market -through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick quote data on all stocks in the Dow Jones Industrial Average. We show that indeed depths rather than spreads are first to impound new information that leads to new quote trends. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never convey information in 1998, and do so in only 8 out of 30 cases in 1995. Even in those 8 cases, the percentage of new information revealed by spreads ranges from 50 -59% with the depths accounting for the rest. Our results have important implications for academic research on asymmetric information trading, for security market design, and for public policy.

SSRN Electronic Journal, 2000

ABSTRACT We use primary data from Bangladesh to examine whether the strength of bank-borrower rel... more ABSTRACT We use primary data from Bangladesh to examine whether the strength of bank-borrower relationships affects the process of transition from joint liability to individual liability loans in the microcredit sector. Using instrumental variables in survival analysis, we show that borrowers who maintain a non-mandatory savings account with the microfinance institution (MFI), and those who borrow from a single MFI, graduate from joint liability to individual liability loans with relatively short repayment records. The results are robust across a range of non-parametric and parametric specifications. Our findings imply that MFIs have incentives to invest in relationship development with their clients in order to expedite the process of transition from joint liability to individual liability loans, which in turn, can reduce the incidence of voluntary drop outs by the matured borrowers.

Antennas and Propagation Society International Symposium, 1998

The Journal of Trading, 2009

SSRN Electronic Journal, 2000

SSRN Electronic Journal, 2000

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal)... more Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that decimalization has resulted in significantly lower quoted and effective bid/ask spreads and that the most popular quoted spread is 1 cent. The available depths at the best bid and ask prices are also significantly lower. Together, these spread-depth results deliver a mixed verdict on market liquidity after decimalization. We find that decimalization has resulted in significant increases (decreases) in relatively smaller size (larger size) trades and trading volume. The frequency of quote updates and autoquotes in decimal stocks following decimalization has also increased significantly. Regional stock exchanges also appear to be significantly more active in competing for order flow. Our results have important research and policy implications.

The Journal of Trading, 2006

... AND ROBERT A. WOOD AMBER ANAND is an assistant professor in the Department of Finance at the ... more ... AND ROBERT A. WOOD AMBER ANAND is an assistant professor in the Department of Finance at the College of Business Administration, University of Central Florida in Orlando, FL.aanand@bus.ucf.edu ... Buyer Initiated Mean (Std Dev) Seller Initiated Mean (Std Dev) ...

SSRN Electronic Journal, 2000

British Journal of Diseases of the Chest, 1985

Sarcoidosis in India frequently presents in elderly males with a dissociation between extensive r... more Sarcoidosis in India frequently presents in elderly males with a dissociation between extensive radiological changes and scanty clinical signs in the chest. Clubbing is not infrequent. Erythema nodosum, generalized lymphadenopathy, eye changes, and bone cysts are uncommon. Spontaneous resolution or asymptomatic course is very rare. Follow-up reports, whenever available, show that patients have frequent relapses which respond well to short courses of steroids. This comparative study shows a few differences between this series (of 90 cases diagnosed from 1957 to 1982), two different Western series and the World series. Detection and documentation of cases of sarcoidosis in India have been on the increase during the last few decades. Whether that is due to increase in incidence or awareness is difficult to say. In two special centres in India, the frequency of detection of the disorder varied between 61.2 (in a chest hospital in Delhi during 1957-74) to over 150 per 100 000 patients (Calcutta) attending a general hospital with a sarcoidosis clinic (1980-82).

Entrepreneurship Theory and Practice, 2014

ABSTRACT We analyze partner selection decisions in the formation of borrowing groups in joint lia... more ABSTRACT We analyze partner selection decisions in the formation of borrowing groups in joint liability-based microcredit. We do so within the context of a framed field experiment with the owners of small businesses in rural Bangladesh. We find that when, irrespective of their project status, borrowers are required to make joint liability payments, risky borrowers will offer side payments that are sufficiently large to attract safe borrowers, leading to the formation of heterogeneous risk-matched groups. We discuss the implications of heterogeneous risk matching for the survival and success of small enterprises, and their financiers, in countries with a weak institutional environment.

Lecture Notes in Computer Science, 2010

Abstract. This paper proposes a novel application of text categorization for two types questions ... more Abstract. This paper proposes a novel application of text categorization for two types questions asked in a micro-blogging supported classroom, namely relevant and irrelevant questions. Empirical results and analysis show that utilizing the correlation between questions and available lecture materials in a lecture along with personalization and question text leads to significantly higher categorization accuracy than i) using personalization along with question text and ii) using question text alone.

SSRN Electronic Journal, 2000

ABSTRACT In this paper we propose that hedge funds’ capacity constraints may play a significant r... more ABSTRACT In this paper we propose that hedge funds’ capacity constraints may play a significant role on the decision of fund families to open a new hedge fund. We argue that hedge fund families face diseconomies of scale because of the non-scalability of their investment strategies and, as their existing funds approach critical size, they prefer opening new hedge funds rather than allowing their existing funds to grow. Our empirical analysis shows that fund families’ propensity to open new funds increases with the degree of capacity constraints faced by the existing funds of the families. We find that fund families' strategy of starting new hedge funds is correlated with a decrease in fund flows to their existing funds, and that the introduction of new funds leads to an improvement in the performance of the existing funds within the same family.

SSRN Electronic Journal, 2000

ABSTRACT In a single market, liquidity supply has two dimensions--price measured by the quoted sp... more ABSTRACT In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a violation of price priority. We define the breadth of the market as the number of quoting market centers matching the best prices, by side of the market. Regulation NMS introduced a price priority rule mandating that orders be routed to the exchange with the best prices, which, in turn, led to the establishment of high speed communications connections between markets. We study liquidity around earnings announcements for NYSE firms. We find that liquidity suppliers significantly decrease market breath prior to earnings announcements, and that large uninformed liquidity demanders significantly increase their use of Intermarket Sweep Orders (ISOs). ISOs are a more aggressive and expensive trading strategy. In post Regulation NMS markets, we show that market breadth is an important measure of liquidity and significantly affects the level of aggressive trading in the market.

The Journal of Finance, 2004

We investigate the contribution of option markets to price discovery, using a modification of Has... more We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17 percent on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.

The Journal of Business, 1999

Using a national survey data where the event of individual households being refused loans (credit... more Using a national survey data where the event of individual households being refused loans (credit rationed) by financial institutions --as well as the specific loans for which they were turned down --is observed directly, this study investigates both the role of relationships on credit rationing in the nineties and the differential role of relationships across credit rationing in various consumer loan types, like mortgage loans, auto loans, installment loans, credit card loans, and lines of credit. We find that even though relationship variables continue to be very important determinants of credit rationing in the consumer loan market in the nineties, their relative impact may have, in fact, declined compared to the eighties. We also find that relationships appear to be most important in decreasing the probability of rationing in mortgage loans, and play a relatively less important role in the rationing of car loans and installment loans. Credit cards and Lines of credit appear to be immune from relationship effects. Our work highlights the uniqueness of relationships in secured consumer loans like mortgage loans and its difference with secured loans in small business lending.

Journal of Financial Research, 2004

... thank Robert Battalio, Tarun Chordia, Bill Christie, Mike Cooper, Amy Edwards, Gene Finn, Mic... more ... thank Robert Battalio, Tarun Chordia, Bill Christie, Mike Cooper, Amy Edwards, Gene Finn, Michael Goldstein, Robert Jennings, Ananth Madhavan, Tim McCormick, William T. Moore (the editor), Eric Sirri, George Sofianos, Bonnie Van Ness, Richard Warr, and Robert Wood Jr. ...

This paper investigates the order in which new information is first reflected in the market -thro... more This paper investigates the order in which new information is first reflected in the market -through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick quote data on all stocks in the Dow Jones Industrial Average. We show that indeed depths rather than spreads are first to impound new information that leads to new quote trends. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never convey information in 1998, and do so in only 8 out of 30 cases in 1995. Even in those 8 cases, the percentage of new information revealed by spreads ranges from 50 -59% with the depths accounting for the rest. Our results have important implications for academic research on asymmetric information trading, for security market design, and for public policy.

SSRN Electronic Journal, 2000

ABSTRACT We use primary data from Bangladesh to examine whether the strength of bank-borrower rel... more ABSTRACT We use primary data from Bangladesh to examine whether the strength of bank-borrower relationships affects the process of transition from joint liability to individual liability loans in the microcredit sector. Using instrumental variables in survival analysis, we show that borrowers who maintain a non-mandatory savings account with the microfinance institution (MFI), and those who borrow from a single MFI, graduate from joint liability to individual liability loans with relatively short repayment records. The results are robust across a range of non-parametric and parametric specifications. Our findings imply that MFIs have incentives to invest in relationship development with their clients in order to expedite the process of transition from joint liability to individual liability loans, which in turn, can reduce the incidence of voluntary drop outs by the matured borrowers.

Antennas and Propagation Society International Symposium, 1998

The Journal of Trading, 2009

SSRN Electronic Journal, 2000

SSRN Electronic Journal, 2000

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal)... more Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that decimalization has resulted in significantly lower quoted and effective bid/ask spreads and that the most popular quoted spread is 1 cent. The available depths at the best bid and ask prices are also significantly lower. Together, these spread-depth results deliver a mixed verdict on market liquidity after decimalization. We find that decimalization has resulted in significant increases (decreases) in relatively smaller size (larger size) trades and trading volume. The frequency of quote updates and autoquotes in decimal stocks following decimalization has also increased significantly. Regional stock exchanges also appear to be significantly more active in competing for order flow. Our results have important research and policy implications.

The Journal of Trading, 2006

... AND ROBERT A. WOOD AMBER ANAND is an assistant professor in the Department of Finance at the ... more ... AND ROBERT A. WOOD AMBER ANAND is an assistant professor in the Department of Finance at the College of Business Administration, University of Central Florida in Orlando, FL.aanand@bus.ucf.edu ... Buyer Initiated Mean (Std Dev) Seller Initiated Mean (Std Dev) ...

SSRN Electronic Journal, 2000

British Journal of Diseases of the Chest, 1985

Sarcoidosis in India frequently presents in elderly males with a dissociation between extensive r... more Sarcoidosis in India frequently presents in elderly males with a dissociation between extensive radiological changes and scanty clinical signs in the chest. Clubbing is not infrequent. Erythema nodosum, generalized lymphadenopathy, eye changes, and bone cysts are uncommon. Spontaneous resolution or asymptomatic course is very rare. Follow-up reports, whenever available, show that patients have frequent relapses which respond well to short courses of steroids. This comparative study shows a few differences between this series (of 90 cases diagnosed from 1957 to 1982), two different Western series and the World series. Detection and documentation of cases of sarcoidosis in India have been on the increase during the last few decades. Whether that is due to increase in incidence or awareness is difficult to say. In two special centres in India, the frequency of detection of the disorder varied between 61.2 (in a chest hospital in Delhi during 1957-74) to over 150 per 100 000 patients (Calcutta) attending a general hospital with a sarcoidosis clinic (1980-82).

Entrepreneurship Theory and Practice, 2014

ABSTRACT We analyze partner selection decisions in the formation of borrowing groups in joint lia... more ABSTRACT We analyze partner selection decisions in the formation of borrowing groups in joint liability-based microcredit. We do so within the context of a framed field experiment with the owners of small businesses in rural Bangladesh. We find that when, irrespective of their project status, borrowers are required to make joint liability payments, risky borrowers will offer side payments that are sufficiently large to attract safe borrowers, leading to the formation of heterogeneous risk-matched groups. We discuss the implications of heterogeneous risk matching for the survival and success of small enterprises, and their financiers, in countries with a weak institutional environment.

Lecture Notes in Computer Science, 2010

Abstract. This paper proposes a novel application of text categorization for two types questions ... more Abstract. This paper proposes a novel application of text categorization for two types questions asked in a micro-blogging supported classroom, namely relevant and irrelevant questions. Empirical results and analysis show that utilizing the correlation between questions and available lecture materials in a lecture along with personalization and question text leads to significantly higher categorization accuracy than i) using personalization along with question text and ii) using question text alone.

SSRN Electronic Journal, 2000

ABSTRACT In this paper we propose that hedge funds’ capacity constraints may play a significant r... more ABSTRACT In this paper we propose that hedge funds’ capacity constraints may play a significant role on the decision of fund families to open a new hedge fund. We argue that hedge fund families face diseconomies of scale because of the non-scalability of their investment strategies and, as their existing funds approach critical size, they prefer opening new hedge funds rather than allowing their existing funds to grow. Our empirical analysis shows that fund families’ propensity to open new funds increases with the degree of capacity constraints faced by the existing funds of the families. We find that fund families' strategy of starting new hedge funds is correlated with a decrease in fund flows to their existing funds, and that the introduction of new funds leads to an improvement in the performance of the existing funds within the same family.

SSRN Electronic Journal, 2000

ABSTRACT In a single market, liquidity supply has two dimensions--price measured by the quoted sp... more ABSTRACT In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a violation of price priority. We define the breadth of the market as the number of quoting market centers matching the best prices, by side of the market. Regulation NMS introduced a price priority rule mandating that orders be routed to the exchange with the best prices, which, in turn, led to the establishment of high speed communications connections between markets. We study liquidity around earnings announcements for NYSE firms. We find that liquidity suppliers significantly decrease market breath prior to earnings announcements, and that large uninformed liquidity demanders significantly increase their use of Intermarket Sweep Orders (ISOs). ISOs are a more aggressive and expensive trading strategy. In post Regulation NMS markets, we show that market breadth is an important measure of liquidity and significantly affects the level of aggressive trading in the market.

The Journal of Finance, 2004

We investigate the contribution of option markets to price discovery, using a modification of Has... more We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17 percent on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.

The Journal of Business, 1999

Using a national survey data where the event of individual households being refused loans (credit... more Using a national survey data where the event of individual households being refused loans (credit rationed) by financial institutions --as well as the specific loans for which they were turned down --is observed directly, this study investigates both the role of relationships on credit rationing in the nineties and the differential role of relationships across credit rationing in various consumer loan types, like mortgage loans, auto loans, installment loans, credit card loans, and lines of credit. We find that even though relationship variables continue to be very important determinants of credit rationing in the consumer loan market in the nineties, their relative impact may have, in fact, declined compared to the eighties. We also find that relationships appear to be most important in decreasing the probability of rationing in mortgage loans, and play a relatively less important role in the rationing of car loans and installment loans. Credit cards and Lines of credit appear to be immune from relationship effects. Our work highlights the uniqueness of relationships in secured consumer loans like mortgage loans and its difference with secured loans in small business lending.

Journal of Financial Research, 2004

... thank Robert Battalio, Tarun Chordia, Bill Christie, Mike Cooper, Amy Edwards, Gene Finn, Mic... more ... thank Robert Battalio, Tarun Chordia, Bill Christie, Mike Cooper, Amy Edwards, Gene Finn, Michael Goldstein, Robert Jennings, Ananth Madhavan, Tim McCormick, William T. Moore (the editor), Eric Sirri, George Sofianos, Bonnie Van Ness, Richard Warr, and Robert Wood Jr. ...