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Higher order expectations, illiquidity, and short-term trading
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2011
We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …
Persistent link: https://www.econbiz.de/10010833008
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Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
Manzano, Carolina; Vives, Xavier - IESE Business School, Universidad de Navarra - 2010
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10008641476
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Dynamic trading and asset prices: Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2007
in the estimation of fundamental value. The standard case of no residual uncertainty and noise trading following a random …
Persistent link: https://www.econbiz.de/10005057438
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Price efficiency and short selling
Saffi, Pedro; Sigurdson, Kari - IESE Business School, Universidad de Navarra - 2008
equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for …
Persistent link: https://www.econbiz.de/10005021733
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Differences of opinion, information and the timing of trades
Saffi, Pedro - IESE Business School, Universidad de Navarra - 2008
This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....
Persistent link: https://www.econbiz.de/10005021753
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Herd behavior towards the market index: Evidence from 21 financial markets
Wang, Daxue - IESE Business School, Universidad de Navarra - 2008
developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a … robust regression technique to calculate the betas of the CAPM and those of the Fama-French three-factor model, with to the …-1998 financial crises. This 1997-1998 turmoil turns out to have formed a turning point for most of the financial markets. We document …
Persistent link: https://www.econbiz.de/10005021810
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Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2004
While Arzac and Glosten (2005) affirm that "the value of tax shields depends upon the nature of the equity stochastic … value of debt, E the equity value, and L a constant. The Arzac and Glosten (2005) assumption requires continuous debt …
Persistent link: https://www.econbiz.de/10005021771
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Consumer search costs and the incentives to merge under Bertrand Competition
Moraga-Gonzalez, Jose L.; Petrikaite, Vaiva - IESE Business School, Universidad de Navarra - 2011
This paper studies the incentives to merge in a Bertrand competition model where firms sell differentiated products and consumers search the market for satisfactory deals. In the pre-merger market equilibrium, all firms look alike and so the probability a firm is next in the queue consumers...
Persistent link: https://www.econbiz.de/10009320558
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On the identification of the costs of simultaneous search
Moraga-Gonzalez, Jose L.; Sandor, Zsolt; Wildenbeest, … - IESE Business School, Universidad de Navarra - 2010
show that by pooling aggregate data from multiple markets, or disaggregate data from multiple market segments, the …
Persistent link: https://www.econbiz.de/10008641463
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Advertising for attention in a consumer search model
Haan, Marco A.; Moraga-Gonzalez, Jose L. - IESE Business School, Universidad de Navarra - 2009
We model the idea that when consumers search for products, they first visit the firm whose advertising is more salient. The gains a firm derives from being visited early increase in search costs, so equilibrium advertising increases as search costs rise. This may result in lower firm profits...
Persistent link: https://www.econbiz.de/10004991337