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Price adjustment to news with uncertain precision
Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - Center for Financial Studies - 2008
Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...
Persistent link: https://www.econbiz.de/10010986444
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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2009
Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...
Persistent link: https://www.econbiz.de/10010986485
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter E.; Veredas, David - Center for Financial Studies - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10010958631
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Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - Center for Financial Studies - 2008
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
Persistent link: https://www.econbiz.de/10010958636
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Price Adjustment to News with Uncertain Precision
Hautsch, Nikolas; Hess, Dieter; Müller, Christoph - Center for Financial Studies - 2008
Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...
Persistent link: https://www.econbiz.de/10005007637
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The role of bank lending tightening on corporate bond issuance in the eurozone
Kaya, Orcun; Wang, Lulu - Center for Financial Studies - 2014
well as the perception of risk lead to significantly higher NFC bond issuance. In addition, we show that stricter lending …
Persistent link: https://www.econbiz.de/10010958784
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Private benefits and minority shareholder expropriation: Empirical evidence from IPOs of German family-owned firms
Ehrhardt, Olaf; Nowak, Eric - Center for Financial Studies - 2001
Our study examines the existence and the nature of private benefits of control in Germany. We do this by analyzing initial public offerings of founding-family owned firms and tracking their fate up to ten years following the IPO. Our sample includes a uniquely rich data set of 105 IPOs of...
Persistent link: https://www.econbiz.de/10010986426
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Strategic trading and trade reporting by corporate insiders
Betzer, André; Gider, Jasmin; Metzger, Daniel; … - Center for Financial Studies - 2011
otherwise similar nonstrategic trades. Our results also imply that delayed reporting is detrimental to market efficiency and …
Persistent link: https://www.econbiz.de/10010958758
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Private equity returns and disclosure around the world
Walz, Uwe; Cumming, Douglas - Center for Financial Studies - 2004
We study the returns the venture capital and private equity investment from 221 venture capital and private equity funds that are part of 72 venture capital and private equity firms, 5040 entrepreneurial firms (3826 venture capital and 1214 private equity), and spanning 32 years (1971 2003) and...
Persistent link: https://www.econbiz.de/10010986361
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A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II
Kraeussl, Roman - Center for Financial Studies - 2003
volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit … ratings in determining commercial banks capital adequacy ratios since the standardized approach to credit risk would lead to … on the lateness and cyclical determination of credit rating agencies sovereign risk assess-ments and the continuing …
Persistent link: https://www.econbiz.de/10010986402