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Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2003

Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover). Approximately 3000...

Persistent link: https://www.econbiz.de/10005656212

Where is the Market? Evidence from Cross-Listings

Halling, Michael; Pagano, Marco; Randl, Otto; Zechner, Josef - C.E.P.R. Discussion Papers - 2005

We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of...

Persistent link: https://www.econbiz.de/10005789007

Trading Volume and Asset Liquidity

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

The existence of a centralized market does not in itself guarantee that an asset can be readily liquidated at no loss: if the market is not deep enough, traders will experience adverse changes in the market price in response to their transactions. Market depth, however, is a function of the...

Persistent link: https://www.econbiz.de/10005792361

The Microstructure of the Euro Money Market

Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001

This Paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in six countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10005123983

Does FOMC News Increase Global FX Trading?

Fischer, Andreas M; Ranaldo, Angelo - C.E.P.R. Discussion Papers - 2008

Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading...

Persistent link: https://www.econbiz.de/10005136771

The more we know on the fundamental, the less we agree on the price

Kondor, Péter - C.E.P.R. Discussion Papers - 2011

I allow heterogenity in trading horizons across groups in a standard differential information model of a financial market. This can explain the empirical facts that after public announcements trading volume increases, more private information is incorporated into prices and volatility increases....

Persistent link: https://www.econbiz.de/10009144734

Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories

Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013

crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …

Persistent link: https://www.econbiz.de/10011083911

Speculation in the Oil Market

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …

Persistent link: https://www.econbiz.de/10011084143

The Role of Speculation in Oil Markets: What Have We Learned So Far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012

was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …

Persistent link: https://www.econbiz.de/10011084244

Speculation, Risk Premia and Expectations in the Yield Curve

Barillas, Francisco; Nimark, Kristoffer P - C.E.P.R. Discussion Papers - 2013

An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way...

Persistent link: https://www.econbiz.de/10011084555

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