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Randi Næs

Publications and working papers

Published and forthcoming Papers

1. ”Order Book Characteristics, Trading Volume and Price Volatility: Empirical Evidence from a Limit Order Market”. (with Johannes A Skjeltorp) Journal of Financial Markets 9 (4) (2006) 408-432
2. ”Equity Trading by Institutional Investors. To cross or not to cross”. (with Bernt Arne Ødegaard) Journal of Financial Markets 9 (2) (2006) 79-99
3. ”Aksjemarkedets mikrostruktur – betyr det noe?” (med Johannes A Skjeltorp) Penger og Kreditt 2/2006
4. “Is the market microstructure of stock markets important?” (with Johannes A. Skjeltorp) Economic Bulletin (Norges Bank), nr. 3, 2006
5. "Equity trading by institutional investors: Evidence on order submission strategies" (with Johannes A. Skjeltorp)
   Journal of Banking and Finance, vol.27, issue 7 (2003), pp.1779 - 1817
6. "On- or off-market trading? Evidence on Competition, Liquidity and Execution Costs" (with Johannes A. Skjeltorp) Canadian Investment Review, Fall 2003, pp.47-51.
7. "Investeringshorisont og risiko ved aksjeinvesteringer"
   Penger og Kreditt, 1998/4
8. "Derivatmarkedene"
   Penger og Kreditt, 1994/4
9. "Om endringer i krav til kapitaldekning - nye forslag fra Baselkomiteen" (with Per Atle Aronsen)
   Penger og Kreditt, 1993/4
10. "Utviklingstrekk i obligasjonsmarkedet" (with Pål Winje)
    Penger og Kreditt, 1993/2
11. "Beskatning av nye finansielle instrumenter"
    Forskning om skatteøkonomi, 1991/28

Recent Working Papers

1. "Ownership structure and stock market liquidity". Working Paper 2004/6, Norges Bank.
   Abstract:
   This paper studies the relationship between company ownership and market liquidity in a cross sectional time series setting. The data sample contains detailed transactions data from a limit order driven stock market, and a full breakdown of company ownership into five distinct owner types as well as outside owner concentration and insider holdings. In line with theoretical predictions, owner concentration is found to be negatively related to spreads and information costs. A somewhat weaker negative relation is also found between spreads and insider holdings. Ownership variables does not seem to jointly affect spreads and depth. No strong relationship can be documented between liquidity and institutional ownership, while there is a positive two-ways causality relation between liquidity and the holdings of foreign investors. In general, the assumption of a one-way causality from ownership structure to liquidity is found to be dubious.

2. "Strategic Investor Behaviour and the volatility-volume relation in equity markets" (with Johannes A. Skjeltorp). Working Paper 2003/9, Norges Bank.
   Abstract:
   We examine the relation between price volatility, trading volume and the characteristics of a limit order book using detailed data from the Norwegian equity market. First, the standard relation between volume and volatility found in specialist markets is shown to apply also in a limit order market. Since the order book facilitates trading, a detailed study of how trades emerge through the order flow and the state of the book should provide further insight into the volume volatility relation. Based on several snapshots of the order book during each trading day, we show that the intraday pattern in the slope of the demand and supply schedules of the book capture intraday regularities in spreads, trade size and order placement strategies which are thought of as being related to asymmetric information. We argue that on a daily level the slope measure also captures di.erences in dispersion of beliefs about stock values. By investigating the relationship between the order book slope and the contemporaneous volatility across companies and time, we find support for models where strategic trading and dispersion of beliefs among investors increase both volume and volatility.

3. "Equity trading by institutional investors. To cross or not to cross?" (with Bernt Arne Ødegaard)
   Discussion Paper 3/2000, Norwegian School of Management BI.
   Abstract:
   This paper looks at an increasingly popular market structure for trading of US equities, the crossing network. A crossing network is a satellite trading place: it uses prices from the primary market, and merely matches on quantity. Since trades are passively matched among participants, there is no guarantee of execution in a crossing network. Our prime result shows that the probability of execution in crossing networks is related to stock performance. Using data from a large institutional investor, we show that over the month following an attempt at crossing, there is a two percent difference in abnormal return between stocks that the investor managed to cross and stocks that had to be bought in the market. We interpret our results as evidence of informed trading in the most liquid stocks in the world, the constituents of the S\&P500. We may, however, still be looking at an equilibrium outcome. Our result is consistent with the implications of a theoretical model of intermarket competition, in which the adverse selection in a crossing network is offset by the lower cost of the trades that one manages to cross.