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Informational Efficiency and Behaviour Within In-Play Prediction Markets
Angelini, Giovanni - 2020
We propose a practical framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets, especially in how prices react to news. We show this using betting exchange data for association football, exploiting the moment when...
Persistent link: https://www.econbiz.de/10012845884
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Information efficiency and firm-specific return variation
Kelly, Patrick J. - 2014
Persistent link: https://www.econbiz.de/10010428210
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Guru dreams and competition : an anatomy of the economics of blogs
Dong, Yi; Massa, Massimo; Zhang, Hong - 2014
Persistent link: https://www.econbiz.de/10010482339
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Speed of information diffusion within fund families
Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: February 2015
We examine how speed of information diffusion within mutual fund families affects the performance and trading behavior of the corresponding member mutual funds. Timely information flows within the organization lead to better fund performance, and even more so when information flows across funds...
Persistent link: https://www.econbiz.de/10010471723
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Speed of information diffusion within fund families
Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: July 2015
We document that the speed of information dissemination within mutual fund families positively affects the performance of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs associated with fast internal dissemination. The...
Persistent link: https://www.econbiz.de/10011296785
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What can survey forecasts tell us about informational rigidities?
Coibion, Olivier; Gorodnichenko, Yuriy - 2008
Persistent link: https://www.econbiz.de/10003792484
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Time and the price impact of a trade : a structural approach
Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011
; Spread Decomposition Models ; Adverse Selection Risk …
Persistent link: https://www.econbiz.de/10008856379
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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2014
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10013066429
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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2014
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10013066748
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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2014
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10013067174