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Cespa, Giovanni - Department of Economics and Business, Universitat … - 2001

This paper studies the relationship between the amount of public information that stock market prices incorporate and … vectors of assets accessing multidimensional information under two alternative market structures. In the first (the … want to trade. I show that informed traders’ incentives to exploit multidimensional private information depend on the …

Persistent link: https://www.econbiz.de/10005704851

Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?

Aguiar, Mark; Broner, Fernando - Department of Economics and Business, Universitat … - 2001

Emerging market crises are characterized by large swings in both macroeconomic fundamentals and asset prices. The economic significance of observed movements in macroeconomic variables is obscured by the brief and extreme nature of crises. In this paper we propose to study the macroeconomic...

Persistent link: https://www.econbiz.de/10005707990

Short-term investment and equilibrium multiplicity

Cespa, Giovanni - Department of Economics and Business, Universitat … - 2000

reaction to information arrival and, owing to risk aversion, scale back their trading intensity. This, in turn, reduces both … risk sharing and information impounding into prices enforcing a high returns' volatility-low price informativeness …

Persistent link: https://www.econbiz.de/10005707997

Portable alphas from pension mispricing

Marín, José M.; Franzoni, Francesco - Department of Economics and Business, Universitat … - 2005

We introduce a new dynamic trading strategy based on the systematic misspricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained...

Persistent link: https://www.econbiz.de/10005772008

The dog that did not bark: Insider trading and crashes

Marín, José M.; Olivier, Jacques - Department of Economics and Business, Universitat … - 2006

phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as …. Finally we provide new evidence regarding crashes and the degree of information asymmetry. …

Persistent link: https://www.econbiz.de/10005772066

Pension plan funding and stock market efficiency

Franzoni, Francesco; Marín, José M. - Department of Economics and Business, Universitat … - 2005

The paper argues that the market signifficantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least five years after the first emergence of the underfunding. The low returns are not explained by...

Persistent link: https://www.econbiz.de/10005772159

Firms vs. insiders as traders of last resort

Marín, José M.; Sureda-Gomila, Antoni - Department of Economics and Business, Universitat … - 2006

We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders’ trading...

Persistent link: https://www.econbiz.de/10005772333

Giffen goods and market making

Cespa, Giovanni - Department of Economics and Business, Universitat … - 2002

This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting competitive … traders’ demands in multi- asset, noisy rational expectations equilibrium models. The role that information plays in traders …

Persistent link: https://www.econbiz.de/10005772353

The informational value of incumbency

Llavador, Humberto; Beviá, Carmen - Department of Economics and Business, Universitat … - 2006

information about governing politicians not available from challengers. Because there are many reasons for high reelection rates …

Persistent link: https://www.econbiz.de/10005827438

Overconfidence and market efficiency with heterogeneous agents

Garcia, Diego; Sangiorgi, Francesco; Urosevic, Branko - Department of Economics and Business, Universitat … - 2004

We study financial markets in which both rational and overconfident agents coexist and make endogenous information …. Intuitively, as overconfidence goes up, so does price infornativeness, which makes rational agents cut their information …

Persistent link: https://www.econbiz.de/10005772209