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On the Network Effect in the Stock Market, The N^3/2 Power Law, and Optimal Volatility Equilibrium
Lihn, Stephen H.T. - 2010
prescribed in modern portfolio theory. The tail risk is omnipresent in the financial market …
Persistent link: https://www.econbiz.de/10013148832
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Identification of Information Networks in Stock Markets
Baltakienė, Margarita; Kanniainen, Juho; Baltakys, … - 2021
We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks' topology. Most importantly, our...
Persistent link: https://www.econbiz.de/10013234475
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Does risk sorting explain bubbles?
Kiss, Hubert J.; Kóczy, László Á.; Pintér, Ágnes; … - 2019
A recent stream of experimental economics literature studies the factors that contribute to the emergence of financial bubbles. We consider a setting where participants sorted according to their degree of risk aversion trade in experimental asset markets. We show that risk sorting is able to...
Persistent link: https://www.econbiz.de/10012016397
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The social value of overreaction to information
Bizzarri, Matteo; D'Arienzo, Daniele - 2023
Persistent link: https://www.econbiz.de/10014507922
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Technology Spillovers, Information Externality, and Stock Price Crash Risk
Kim, Jeong-Bon - 2020
Technology spillovers have previously been shown to positively affect a firm's market value and innovation activities. We build on this literature by showing that value-relevant information from technology spillovers significantly reduces the likelihood of the focal firm experiencing a stock...
Persistent link: https://www.econbiz.de/10012853539
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External Guarantees and Stock Price Crash Risk
Wu, Kai - 2020
We evaluate the financial risk and explore potential motivation of pervasive external guarantee activities. Using a sample of Chinese A-share listed firms during the period from 2008 to 2017, we find a positive association between external guarantees intensity and stock price crash risk. High...
Persistent link: https://www.econbiz.de/10012826123
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Information externalities, analyst research resource allocation, and stock pricing efficiency
Cui, Chenyu; He, Guihua; Xie, Deren - In: China journal of accounting studies 10 (2022) 1, pp. 1-25
analysts are constrained by their research resources, they collect information with more externalities. Measuring information … externalities as a stock’s fundamental correlations with other stocks in the same industry, we find that stocks with high … information externalities get more analyst coverage, more (high-quality) analyst reports, and more site visits than those with low …
Persistent link: https://www.econbiz.de/10013413093
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Asset Pricing and the Carbon Beta of Externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
pricing and the fund provides subsidies to reduce technology costs or to boost investment returns. The investment subsidy …
Persistent link: https://www.econbiz.de/10013214337
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Subsidizing price discovery
Camargo, Braz; Kim, Kyungmin; Lester, Benjamin - 2013
Persistent link: https://www.econbiz.de/10010198267
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Subsidizing Price Discovery
Camargo, Braz - 2013
When markets freeze, not only are gains from trade left unrealized, but the process of information production through prices, or price discovery, is disrupted as well. Though this latter effect has received much less attention than the former, it constitutes an important source of inefficiency...
Persistent link: https://www.econbiz.de/10013082015