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Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

Persistent link: https://www.econbiz.de/10011083673

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock returns of a small open economy, Portugal, and a large open economy, the U.S. We also study the role of public and private information in the price formation process in the U.S. and...

Persistent link: https://www.econbiz.de/10005666949

Global Private Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...

Persistent link: https://www.econbiz.de/10005667137

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10005791707

Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

informed trading, suggesting that risk sharing is the most plausible explanation for the reduction in the cost of equity …

Persistent link: https://www.econbiz.de/10005114153

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies

Rockinger, Michael; Urga, Giovanni - C.E.P.R. Discussion Papers - 2000

This paper introduces a model, based on the Kalman filter framework, which allows for time varying parameters, latent factors, and a general GARCH structure for the residuals. With this extension of the Bekaert and Harvey (1997) model it is possible to test if an emerging stock market becomes...

Persistent link: https://www.econbiz.de/10005504665

Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges

Zalewska, Ania - C.E.P.R. Discussion Papers - 1999

This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...

Persistent link: https://www.econbiz.de/10005497754

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transaction data between 1985-95.We extend preliminary analysis conducted by Fischer and Zurlinden (1999) by matching these data with intra-day indicative exchange...

Persistent link: https://www.econbiz.de/10005497953

The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks

Acharya, Viral V; Steffen, Sascha - C.E.P.R. Discussion Papers - 2013

the cross-section of banks; and, the negative German loading reflects funding risk (flight away from bank funding to … German government bonds), a risk that is increasing in the US money market mutual fund exposures of European banks as well as … various proxies for bank short-term debt. Large banks and banks with low Tier 1 ratios and high risk-weighted assets had …

Persistent link: https://www.econbiz.de/10011084468