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Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE

Bardong, Florian; Bartram, Söhnke M.; Yadav, Pradeep K. - Volkswirtschaftliche Fakultät, … - 2005

strongly related to required returns. This indicates that an important part of the information risk premium is related to the …

Persistent link: https://www.econbiz.de/10005836533

Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2009

Mullainathan et al [Quarterly Journal of Economics, May 2008] present a model of coarse thinking or analogy based thinking. The essential idea behind coarse thinking is that people put situations into categories and the values assigned to attributes in a given situation are affected by the...

Persistent link: https://www.econbiz.de/10005619287

Are Short-sellers Different?

Bardong, Florian; Bartram, Söhnke M.; Yadav, Pradeep K. - Volkswirtschaftliche Fakultät, … - 2007

While theoretical models strongly suggest that short-sales are mainly driven by private information, recent empirical … short and compares these with regular buys and sales with regards to variation in the information contents and timing of … short-sales. We find that short-sellers have different private information than regular buyers and sellers, which seems to …

Persistent link: https://www.econbiz.de/10005835853

The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis

Bardong, Florian; Bartram, Söhnke M.; Yadav, Pradeep K. - Volkswirtschaftliche Fakultät, … - 2006

This paper investigates the information environment during and after a corporate break-up utilizing direct measures of … information asymmetry developed in the market microstructure literature. The analysis is based on all corporate break-ups in the … United States in the period 1995-2005. The results document that information asymmetry declines significantly as a result of …

Persistent link: https://www.econbiz.de/10005619983

Explaining the Smile in Currency Options: Is it Anchoring?

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2015

An anchoring adjusted currency option pricing formula is developed in which the risk of the underlying currency is used as a starting point which gets adjusted upwards to arrive at the currency call risk. Anchoring bias implies that such adjustments are insufficient. The new formula converges to...

Persistent link: https://www.econbiz.de/10011250911

Why are U.S. Stocks More Volatile?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - Volkswirtschaftliche Fakultät, … - 2012

U.S. stocks are more volatile than stocks of similar foreign firms. A firm’s stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

Persistent link: https://www.econbiz.de/10011260390

Rational Interacting Agents and Volatility Clustering: A New Approach

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2007

Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models.

Persistent link: https://www.econbiz.de/10005260132

Coarse Thinking and Pricing a Financial Option

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2009

Mullainathan et al [Quarterly Journal of Economics, May 2008] present a formalization of the concept of coarse thinking in the context of a model of persuasion. The essential idea behind coarse thinking is that people put situations into categories and the values assigned to attributes in a...

Persistent link: https://www.econbiz.de/10008541492

Coarse thinking, implied volatility, and the valuation of call and put options

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2010

People think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainathan et al [Quarterly Journal of Economics, May 2008] is intuitively very appealing. We derive a new option pricing formula based on the assumption that the market consists of coarse thinkers as...

Persistent link: https://www.econbiz.de/10008530709

Thinking by analogy, systematic risk, and option prices

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2011

People tend to think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainathan et al [Quarterly Journal of Economics, May 2008] is intuitively very appealing. We develop a new option pricing model based on the idea that the market consists of coarse thinkers as...

Persistent link: https://www.econbiz.de/10009132750