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Learning about CEO Ability and Stock Return Volatility

Pan, Yihui - 2013

When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...

Persistent link: https://www.econbiz.de/10012459779

Fund Managers, Career Concerns, and Asset Price Volatility

Guerrieri, Veronica - 2009

We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some … managers have superior information on the default probability. Looking at the past performance, investors update beliefs on … their managers and make firing decisions. This leads to career concerns which affect investment decisions, generating a …

Persistent link: https://www.econbiz.de/10012463750

Information Acquisition, Efficiency, and Non-Fundamental Volatility

Hébert, Benjamin M. - 2020

This paper analyzes non-fundamental volatility and efficiency in a class of large games (including e.g. linear-quadratic beauty contests) that feature strategic interaction and endogenous information acquisition. We adopt the rational inattention approach to information acquisition but...

Persistent link: https://www.econbiz.de/10012479295

Heterogeneous Expectations and Bond Markets

Xiong, Wei - 2006

This paper presents a dynamic equilibrium model of bond markets, in which two groups of agents hold heterogeneous expectations about future economic conditions. Our model shows that heterogeneous expectations can not only lead to speculative trading, but can also help resolve several challenges...

Persistent link: https://www.econbiz.de/10012465881

Electoral Uncertainty and the Volatility of International Capital Flows

Chang, Roberto - 2006

I study a small open economy in which elections affect and are affected by capital inflows. Two candidates, one favoring workers and another favoring entrepreneurs, run for office; the winner chooses taxes, which affect investment returns. A pro labor victory results in a "sudden stop" in...

Persistent link: https://www.econbiz.de/10012466216

Crises and Prices : Information Aggregation, Multiplicity and Volatility

Angeletos, George-Marios - 2004

Many argue that crises -- such as currency attacks, bank runs and riots -- can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of...

Persistent link: https://www.econbiz.de/10012467672