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False News, Informational Efficiency, and Price Reversals.

Dugast, J.; Foucault, T. - Banque de France - 2014

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

Persistent link: https://www.econbiz.de/10010938543

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of … open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be …, targeted liquidity assistance may become strictly superior. The analysis might have a bearing on recent developments in the …

Persistent link: https://www.econbiz.de/10004998822

The effect of Sovereign Wealth Funds’ involvement on stock markets.

Raymond, H. - Banque de France - 2008

This study assesses the reaction of stock markets, when Sovereign Wealth Funds (SWFs) announce that they have taken a stake in a listed company. It adds useful empirical results to the debate on the effect of SWFs on financial markets, which remains so far largely reliant on guess work. We...

Persistent link: https://www.econbiz.de/10009395382

Limited attention and news arrival in limit order markets.

Dugast, J. - Banque de France - 2013

I model the dynamics of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors monitor news arrival imperfectly. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity...

Persistent link: https://www.econbiz.de/10010815973

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.

Bernales, A. - Banque de France - 2014

We examine a number of unexplored factors that affect the ex-post adoption rates of newly listed stock options. We show that a variety of measures of information asymmetries concerning underlying stocks predict option adoption rates. These predictive relationships are robust to control factors...

Persistent link: https://www.econbiz.de/10010816019

Estimation et interpretation des densites neutres au risque: Une comparaison de methodes

Jondeau, E.; Rockinger, M. - Banque de France - 1997

Nous comparons dans ce papier la qualite et le contenu en information des densites neutres au risque, obtenus a partir de differentes representations de ces densites: l'approche non-parametrique fondee sur un melange de densites log-normales; les formulations semi-parametriques fondees sur...

Persistent link: https://www.econbiz.de/10005781190

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-parametric method based on a mixture of log-normal densities, the semi-parametric ones based on an Hermite approximation of Madan and Milne, or based on an...

Persistent link: https://www.econbiz.de/10005036193

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

month after the elections. The greater liquidity of PIBOR options eases information extraction. …

Persistent link: https://www.econbiz.de/10005036199

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005646662

Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach

Challe, E.; Giannitsarou, C. - Banque de France - 2011

Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed...

Persistent link: https://www.econbiz.de/10009145706