NDLI: Predatory or Sunshine Trading ? Evidence from Crude Oil ETF Rolls *

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Predatory or Sunshine Trading ? Evidence from Crude Oil ETF Rolls *

Content Provider	Semantic Scholar
Author	Bessembinder, Hendrik Lehigh, Allen Carrion
Copyright Year	2012
Abstract	We study prices, liquidity, and individual account trading activity around large and predictable ETF “roll” trades in crude oil futures markets to test the implications of the competing theories of predatory and sunshine trading. The results indicate narrower bid-ask spreads, greater limit order book depth, and a larger number of distinct trading accounts providing liquidity on roll versus non-roll dates. We also extend the theory of strategic trading ahead of a known liquidation to show that even a monopolist trader has incentives to effectively provide liquidity rather than follow predatory strategies in a “resilient” market. We estimate that ETFs effectively pay about 30 basis points to complete their roll trades. On balance, the evidence supports the implications of the sunshine trading theories and of our modified theory of strategic trading around a known liquidation, and fail to support the implications of predatory trading models. This Draft: November 2012
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www.mccombs.utexas.edu/~/media/Files/MSB/Departments/Finance/Speaker%20Series%20Papers/Hank%20B.ashx
Language	English
Access Restriction	Open
Subject Keyword	Benchmark (computing) Computer liquidator Concentrate Dosage Form Contract agreement Electronic funds transfer Ephrin Type-B Receptor 1, human Equity crowdfunding Estimated Financial cost Futures and promises Glycine max Large Mineral Oil 1000 MG/ML Enema Needle-Exchange Programs Overshoot (signal) Petroleum Population Parameter Price point Smart contract Strategic Computing Initiative Sunlight Theory Traders
Content Type	Text
Resource Type	Article

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