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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

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

Interest Rates in Trade Credit Markets

Moreira, Humberto; Novaes, Walter; Barbosa, Klenio - Econometric Society - 2004

There is evidence that suppliers have private information about their customers' credit risk. Yet, interest rates in trade credit markets are usually industry-not-firm specific. Why? If the demand for intermediate products is inelastic, suppliers should raise interest rates until they reach...

Persistent link: https://www.econbiz.de/10005699601

The Growth of Global Equity Markets: A Closer Look

Li, Kai - Econometric Society - 2004

government consumption is negatively associated with equity market activity and liquidity. Under the stochastic frontier modeling …

Persistent link: https://www.econbiz.de/10005063590

Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test

Kim, Jae H. - Econometric Society - 2004

This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand). This paper adopts a new joint variance ratio...

Persistent link: https://www.econbiz.de/10005063663

Beta Risk and Regime Shift in Market Volatility

Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004

In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...

Persistent link: https://www.econbiz.de/10005130158

Do Heterogeneous Beliefs Matter for Asset Pricing?

Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...

Persistent link: https://www.econbiz.de/10005342284

Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Media Frenzies in Markets for Financial Information

Veldkamp, Laura - Econometric Society - 2004

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...

Persistent link: https://www.econbiz.de/10005063589

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