We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order Expectations (HOEs) about the two factors that...

We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...

This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...

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....

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major 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...

This paper looks at the behavior of trade flows in eight countries in Latin America that experienced an extreme nominal exchange rate depreciation. The composition of trade flows shows a very persistent pattern around these episodes of large exchange rate movements. Both the industry composition...

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...

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

Using proprietary data on equity lending supply, loan fees and quantities, we examine the link between institutional ownership structure and the market for equity lending and stock prices. We find that both total institutional ownership and ownership concentration (measured by the Herfindahl...

Este documento contiene un ranking de las gestoras realizado comparando la evolución de sus fondos desde 1990 hasta 2010, según los datos proporcionados por Inverco. Según este ranking, las mejores gestoras fueron: Bestinver, Mutua Madrileña y Merchbanc; las peores fueron: Caja Cataluña,...