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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

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

Constraints and non-existence of rational expectations equilibria

Marín, José M.; Olivier, Jacques - Department of Economics and Business, Universitat … - 1997

definition of a Rational Expectations Equilibrium allows for equilibrium prices that reveal information unknown to any active … measurability condition than measurability with respect to the join of the information sets of the agents and give an example of non …

Persistent link: https://www.econbiz.de/10005772205

On the impact of leverage constraints on asset prices and trading volume

Marín, José M.; Olivier, Jacques P. - Department of Economics and Business, Universitat … - 1995

consistent with a standard infite horizon –perfect information– expected utility economy where some agents face leverage …

Persistent link: https://www.econbiz.de/10005772264