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Rational trader risk
Kondor, Peter - London School of Economics (LSE) - 2004
i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …
Persistent link: https://www.econbiz.de/10010884635
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Comparing downside risk measures for heavy tailed distribution
Danielsson, Jon; Jorgensen, Bjørn N.; Sarma, Mandira; … - London School of Economics (LSE) - 2005
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce … similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be …
Persistent link: https://www.econbiz.de/10011071274
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The more we know, the less we agree: public announcements and higher-order expectations
Kondor, Peter - London School of Economics (LSE) - 2004
The stylized fact that public announcements in financial markets are followed by intense trading, high trading volume and volatile prices, is widely perceived as the sign of increasing disagreement due to the announcement. However, it is common to argue that this would be inconsistent with...
Persistent link: https://www.econbiz.de/10011071459