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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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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
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Consistent measures of risk
Danielsson, Jon; Zigrand, Jean-Pierre; Jorgensen, Bjørn N. - London School of Economics (LSE) - 2006
In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …
Persistent link: https://www.econbiz.de/10011071496