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Does beta move with news?: Systematic risk and firm-specific information flows
Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...
Persistent link: https://www.econbiz.de/10011071113
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Debt maturity and the liquidity of secondary debt markets
Bruche, Max; Segura, Anatoli - London School of Economics (LSE) - 2013
debt markets, and an over-the-counter secondary debt market with search frictions. Liquidity in this market is related to …
Persistent link: https://www.econbiz.de/10010746682
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Anticipated and repeated shocks in liquid markets
Lou, Dong - London School of Economics (LSE) - 2011
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price pattern implies a large issuance cost for the Treasury Department, which is estimated to be between 9 and 18 basis points of the auction size. For...
Persistent link: https://www.econbiz.de/10010746704
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Information asymmetries, volatility, liquidity, and the Tobin Tax
Danilova, Albina; Julliard, Christian - London School of Economics (LSE) - 2014
sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and … empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural … if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order …
Persistent link: https://www.econbiz.de/10011170092
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Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011071447
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Asset pricing with index investing
Chabakauri, Georgy; Rytchkov, Oleg - London School of Economics (LSE) - 2014
larger (smaller) market capitalizations. Indexing also decreases market volatility and interest rates, although those effects …
Persistent link: https://www.econbiz.de/10011125927
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Multi-asset noisy rational expectations equilibrium with contingent claims
Chabakauri, Georgy; Yuan, Kathy; Zachariadis, Konstantinos - London School of Economics (LSE) - 2014
We consider a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors, and noise traders. Informed investors privately observe an aggregate risk factor affecting the probabilities of different states of the economy. Uninformed investors...
Persistent link: https://www.econbiz.de/10011126052
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - London School of Economics (LSE) - 2013
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...
Persistent link: https://www.econbiz.de/10011126150
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Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors
Chabakauri, Georgy - London School of Economics (LSE) - 2015
We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants. The heterogeneity in preferences generates excess...
Persistent link: https://www.econbiz.de/10011126596
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Equilibrium asset pricing with systemic risk
Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008
increase in risk premia, higher and asymmetric asset volatility, lower liquidity, more comovement in prices, and the chance …
Persistent link: https://www.econbiz.de/10011126632