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Are the directions of stock price changes predictable? A generalized cross-spectral approach

Chung, Jaehun; Hong, Yongmiao - Econometric Society - 2004

Using a generalized cross-spectral approach, we propose a model-free omnibus statistical procedure to check whether the direction of changes in an economic variable is predictable using the history of its past changes. A class of separate inference procedures are also given to gauge possible...

Persistent link: https://www.econbiz.de/10005328959

Liquidity Discovery and Asset Pricing

Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

Persistent link: https://www.econbiz.de/10005130211

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

Persistent link: https://www.econbiz.de/10005130216

Country Insurance

Yeyati, Eduardo Levy; Cordella, Tito - Econometric Society - 2004

To understand the consequences of the presence of international safety nets on governments' incentives to undertake reforms, we model IFIsÂ´ interventions as country insurance policies. We find that country insurance (especially when made contingent on negative external shocks) is more likely...

Persistent link: https://www.econbiz.de/10005328891

Country Insurance

Cordella, Tito; Yeyati, Eduardo Levy - Econometric Society - 2004

The recent wave of financial crises has fueled the debate on the effect of IFIs intervention on governments' incentives to undertake reforms. In this paper we treat this intervention more generally as a country insurance contract, and examine its implications in a stylized set-up. More...

Persistent link: https://www.econbiz.de/10005063703

Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S

Cordoba, Juan-Carlos - Econometric Society - 2004

The large wealth and consumption inequality in the U.S. is usually attributed to two market frictions: debt constraints and incomplete markets. Recent literature has argued that debt constraints are the critical friction while market incompleteness plays only a secondary role. We evaluate the...

Persistent link: https://www.econbiz.de/10005699585

Compensation of venture capitalists with two principals

Kim, Sung Hyun - Econometric Society - 2004

Venture capitalists enjoy incentive-laden compensation schemes where they are paid a fixed amount (management fees) plus a share of profit (success fees). This scheme is of course intended to provide venture capitalists with strong incentives under the heavy information asymmetry (Sahlman, 1982,...

Persistent link: https://www.econbiz.de/10005342368

Dynamic Forecasting Behavior by Analysts: Theory and Evidence

Subramanian, Ajay; Clarke, Jonathan - Econometric Society - 2004

We examine the dynamic forecasting behavior of security analysts in response to their prior performance relative to their peers within a continuous time/multi-period framework. Our model predicts a U-shaped relationship between the boldness of an analyst's forecast, that is, the deviation of her...

Persistent link: https://www.econbiz.de/10005063584

Why Issue Mandatory Convertibles? Theory and Empirical Evidence.

Yan, An; Nandy, Debarshi; Chemmanur, Thomas - Econometric Society - 2004

Abstract Mandatory convertibles, which are equity-linked hybrid securities that automatically convert to common stock on a pre-specified date, have become an increasingly popular means of raising capital in recent years (about $20 billion worth issued in 2001 alone). This paper presents the...

Persistent link: https://www.econbiz.de/10005063613

The Changing Malaysian Financial Environment and the Effects on Its Monetary Policy Transmission Mechanism

Raghavan, Mala Valliammai - Econometric Society - 2004

In recent times, economists concur that economy's response to monetary policy is somewhat weaker then they were in the past. However, the cause of such change remains an open issue. One plausible reason for this change could be attributed to the financial reform processes that have brought...

Persistent link: https://www.econbiz.de/10005342178