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Time Variation in Asset Price Responses to Macro Announcements

Goldberg, Linda S. - 2013

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …

Persistent link: https://www.econbiz.de/10012459140

Neglected Risks, Financial Innovation, and Financial Fragility

Gennaioli, Nicola - 2010

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash...

Persistent link: https://www.econbiz.de/10012462586

Neglected Risks : The Psychology of Financial Crises

Gennaioli, Nicola - 2015

crisis. The model generates debt over-issuance, "this time is different" beliefs, neglect of tail risks, under- and over …

Persistent link: https://www.econbiz.de/10012457791

Investor Inattention, Firm Reaction, and Friday Earnings Announcements

DellaVigna, Stefano - 2005

Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a...

Persistent link: https://www.econbiz.de/10012466993

Tax-Loss Trading and Wash Sales

Grinblatt, Mark - 2002

An analysis of trades in the Finnish stock market around the turn of the year shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital...

Persistent link: https://www.econbiz.de/10012469970

Time Varying Risk Aversion

Guiso, Luigi - 2013

We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially after the crisis. After considering standard...

Persistent link: https://www.econbiz.de/10012459377

Emotions and Subjective Crash Beliefs

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024

Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...

Persistent link: https://www.econbiz.de/10014576618

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012480669

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2018

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Persistent link: https://www.econbiz.de/10012480685

Financial Literacy among the Young : Evidence and Implications for Consumer Policy

Lusardi, Annamaria - 2009

We examined financial literacy among the young using data from the 1997 National Longitudinal Survey of Youth. We showed that financial literacy is low among the young; fewer than one-third of young adults possess basic knowledge of interest rates, inflation, and risk diversification. Financial...

Persistent link: https://www.econbiz.de/10012463298

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