Similar Search Results

Identifying Shocks to Systematic Risk in Times of Crisis

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Persistent link: https://www.econbiz.de/10014635656

False news, informational efficiency, and price reversals

Dugast, Jérôme; Foucault, Thierry - 2015

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...

Persistent link: https://www.econbiz.de/10010499565

Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System

Kömm, Holger - 2016 - 1st ed. 2016

information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained …

Persistent link: https://www.econbiz.de/10014018810

Forecasting high-frequency volatility shocks : an analytical real-time monitoring system

Kömm, Holger - 2016 - 1st ed. 2016

Persistent link: https://www.econbiz.de/10011411472

Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market

Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354

Persistent link: https://www.econbiz.de/10014470002

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665