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How Prediction Markets Can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...
Persistent link: https://www.econbiz.de/10009003379
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Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998
's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 …
Persistent link: https://www.econbiz.de/10005124117
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Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 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 five dates surrounding the 1997 snap election and...
Persistent link: https://www.econbiz.de/10005124441
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The Microstructure of the Euro Money Market
Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …
Persistent link: https://www.econbiz.de/10005123983
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The Dog that Did Not Bark: Insider Trading and Crashes
Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007
This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric...
Persistent link: https://www.econbiz.de/10005666589
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Collateralisation bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014
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
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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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Sources of Risk in Currency Returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012
We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...
Persistent link: https://www.econbiz.de/10011083487
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Food and Cash Transfers: Evidence from Colombia
Attanasio, Orazio; Battistin, Erich; Mesnard, Alice - C.E.P.R. Discussion Papers - 2009
We study food Engel curves among the poor population targeted by a conditional cash transfer programme in Colombia. After controlling for the endogeneity of total expenditure and for the (unobserved) variability of prices across villages, the best fit is provided by a log-linear specification....
Persistent link: https://www.econbiz.de/10005016243
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Inference on Impulse Response Functions in Structural VAR Models
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...
Persistent link: https://www.econbiz.de/10009493558