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Do individual investors learn from their trading experience

Nicolosi, Gina; Peng, Liang - Econometric Society - 2004

This paper investigates whether individual investors adjust their stock trading according to their stock selection … abilities, which can be inferred from their trading history. Fixed-effect panel regressions provide strong evidence that the … ability to forecast future stock returns significantly affects investorsâ€™ trading activity: investors purchase more actively …

Persistent link: https://www.econbiz.de/10005130195

Asymmetric Power Distribution: Theory and Applications to Risk Measurement

Komunjer, Ivana - Econometric Society - 2004

Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...

Persistent link: https://www.econbiz.de/10005328924

Evaluating Incentive Options

Xiong, Wei; Sircar, Ronnie - Econometric Society - 2004

periods and trading and hedging restrictions on the holders, but also specifically includes provisions of reloading and …

Persistent link: https://www.econbiz.de/10005329033

Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market

Kumar, Alok - Econometric Society - 2004

In this paper, we attempt to study the time series dynamics of the stock trading volume, or equivalently stock turnover …. Return on stock prices and trading volume are the two prime indicators of trading activity in a stock market. These factors … trading volume. A large body of literature has documented the behavior of trading volumes in the US stock markets. By contrast …

Persistent link: https://www.econbiz.de/10005342341

Risk Sharing through Financial Markets with Endogenous Enforcement of Trades

Koeppl, Thorsten V. - Econometric Society - 2004

financial markets when enforcement is based on the threat of exclusion from future trading as well as on costly enforcement …

Persistent link: https://www.econbiz.de/10005129807

Asymmetry, Loss Aversion and Forecasting

Satchell, Stephen E.; Bond, Shaun A. - Econometric Society - 2004

Conditional volatility models, such as GARCH, have been used extensively in financial applications to capture predictable variation in the second moment of asset returns. However, with recent theoretical literature emphasising the loss averse nature of agents, this paper considers models which...

Persistent link: https://www.econbiz.de/10005130163

Financial intermediaries, markets, and growth

Fecht, Falko; Huang, Kevin - Econometric Society - 2004

This paper contributes to the literature comparing the relative performance of financial intermediaries and markets by studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries provide insurance to households against a liquidity...

Persistent link: https://www.econbiz.de/10005130194

Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model

Milunovich, George - Econometric Society - 2004

A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...

Persistent link: https://www.econbiz.de/10005063659

The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997

Bordo, Michael; Haubrich, Joseph - Econometric Society - 2004

Most work showing the yield curve predicts future economic growth relies on post WWII data. We demonstrate that the yield curve has predictive content for most of the post Civil War period. This predictive ability, however, is closely related to the credibility of the monetary regime in place,...

Persistent link: https://www.econbiz.de/10005063720

Who makes markets? The Role of Dealers and Liquidity Provision

Wang, Albert; Chae, Joon - Econometric Society - 2004

We explore the role of dealers to determine whether they are liquidity-providing market makers or liquidity-taking information traders. Standard models of market making, such as Kyle (1985) and Grossman and Miller (1988), imply a negative contemporaneous correlation between market maker order...

Persistent link: https://www.econbiz.de/10005063725