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Asset Liquidity in Monetary Theory and Finance: A Unified Approach
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019
Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...
Persistent link: https://www.econbiz.de/10012655877
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Limelight on dark markets: An experimental study of liquidity and information
Berentsen, Aleksander; McBride, Michael; Rocheteau, … - 2013
subject to a private information problem. The asset plays the role of a medium of exchange, but this role can be affected by … information, a set of experiments with adverse selection where the terminal value of notes are determined exogenously, and a set …
Persistent link: https://www.econbiz.de/10010316877
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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …
Persistent link: https://www.econbiz.de/10010280788
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Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
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The random walk of high frequency trading
Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …
Persistent link: https://www.econbiz.de/10011406341
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081