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We study the interplay of share prices and firm decisions when share prices aggregate and convey noisy information about fundamentals to investors and managers. First, we show that the informational feedback between the firm's share price and its investment decisions leads to a systematic...
Persistent link: https://www.econbiz.de/10009275969
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large … skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to negative skewness in aggregate …
Persistent link: https://www.econbiz.de/10008553065
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors` subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011083442
We model trading and information diffusion in OTC markets, when dealers can engage in many bilateral transactions at the same time. We show that information diffusion is effective, but not efficient. While each bilateral price partially reveals all dealers' private information after a single...
Persistent link: https://www.econbiz.de/10011084704
conditional variance and skewness of stock returns. …
Persistent link: https://www.econbiz.de/10009364996
by disclosing their own information first. These results have implications for conditional variance and skewness of stock …
Persistent link: https://www.econbiz.de/10005788970
distribution, which has non-trivial skewness properties. I examine how conditional volatility, trading volume and skewness in stock … returns have positive skewness while market returns have negative skewness. …
Persistent link: https://www.econbiz.de/10008491716
This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations...
Persistent link: https://www.econbiz.de/10009644035
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