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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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Can rare events explain the equity premium puzzle?
Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008
frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in … order to rationalize the stock market risk premium. This result holds for a variety of data sources and samples –including …-sectional dis-persion of consumption risk relative to the cross-sectional variation of average returns …
Persistent link: https://www.econbiz.de/10011071098