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, their incentive of information chasing dominates their fear of adverse selection. In a more general setting, information …
Persistent link: https://www.econbiz.de/10013290336
We develop a Bayesian Markov chain Monte Carlo algorithm for estimating risk premia in dynamic stochastic general equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that makes estimation of large-scale DSGE models...
Persistent link: https://www.econbiz.de/10012847324
macroeconomic dynamics) as nuisance parameters that are calibrated. The results of our empirical analysis are not unfavorable for …
Persistent link: https://www.econbiz.de/10012828661
We provide a new framework for using text as data in empirical models. The framework identifies salient information in … in the extant literature dissipate when the salient textual information is included. The results suggest the previously … distortions associated with asymmetric information …
Persistent link: https://www.econbiz.de/10012898019
Specified Purpose Acquisition Companies (SPACs) are a special type of public companies currently available to investors in financial markets. As an investment vehicle, modern SPACs are traced back to 18th century England where blank checks were first mentioned as blind pools during the infamous...
Persistent link: https://www.econbiz.de/10012965649
market. This model highlights the importance that information theory's communication constraints have on the level of price …
Persistent link: https://www.econbiz.de/10013028210
We present a model to study the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that limited market participation can arise endogenously in the presence of earnings management. Our model generates novel predictions on how...
Persistent link: https://www.econbiz.de/10013098787
. -- Financial crises ; risk-taking behavior ; risk aversion ; efficient portfolios ; information asymmetries and market efficiency …
Persistent link: https://www.econbiz.de/10009515838
my hypothesis that stock liquidity provides information and increases insiders’ incentive to pay out dividends, I do not … find that the relation between stock liquidity and dividend payouts is more pronounced when the information environment is …
Persistent link: https://www.econbiz.de/10011865505
We investigate the impact of managerial investment diversion on a firm's investment paths and the investment-return relation in a dynamic q-theory model. When efficiency of investment is not observed by shareholders, the manager may divert investment for private benefits. An agency investment...
Persistent link: https://www.econbiz.de/10011659514