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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

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

Information revelation and market incompleteness

Marín, José M.; Rahi, Rohit - Department of Economics and Business, Universitat … - 1996

\documentstyle[portada,11pt]{article} This paper shows that the presence of private information in an economy can be a … expectations and differ in information, endowments and, possibly, attitudes toward risk. The emergence of complete or incomplete … effect}, as new securities are issued and prices reveal more information. When the Hirshleifer effect dominates, the exchange …

Persistent link: https://www.econbiz.de/10005707945

Speculative securities

Marín, José M.; Rahi, Rohit - Department of Economics and Business, Universitat … - 1997

sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to trade …

Persistent link: https://www.econbiz.de/10005772444

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

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

The relevance of coarse thinking for investors' willingness to pay: An experimental study

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2010

People tend to think by analogies. We investigate whether thinking-by-analogy matters for investors’ willingness to pay for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in question have similar (but not identical) payoffs....

Persistent link: https://www.econbiz.de/10008636541