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Market Set-Up in Advance of Federal Reserve Policy Decisions

van Dijk, Dick - 2014

This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement...

Persistent link: https://www.econbiz.de/10012458849

Market Underreaction to Open Market Share Repurchases

Ikenberry, David - 1994

We examine long-run firm performance following open market share repurchase announcements which occurred during the period 1980 to 1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1 percent. For `value' stocks, companies more...

Persistent link: https://www.econbiz.de/10012473934

Money and Interest Rates with Endogeneously Segmented Markets

Alvarez, Fernando - 1999

This paper analyses the effects of open market operations on interest rates in a model in which agents must pay a fixed cost to exchange assets and cash. Asset markets are endogenously segmented in that some agents choose to pay the fixed cost and some do not. When the fixed cost is zero, the...

Persistent link: https://www.econbiz.de/10012471741

Liquidity, Business Cycles, and Monetary Policy

Kiyotaki, Nobuhiro - 2012

The paper presents a model of a monetary economy where there are differences in liquidity across assets. Money circulates because it is more liquid than other assets, not because it has any special function. There is a spectrum of returns on assets, reflecting their differences in liquidity. The...

Persistent link: https://www.econbiz.de/10012460725

Monopolistic Competition, Credibility and the Output Costs of Disinflation Programs : An Analysis of Price Controls

van Wijnbergen, Sweder - 1987

inflation inertia can emerge: the interaction between lack of credibility of government monetary policy announcements and the …. Lack of credibility is then shown to lead to output losses during a disinflation program. We demonstrate the effects of … during disinflation programs with and without price controls and the influence of credibility problems. We discuss nominal …

Persistent link: https://www.econbiz.de/10012476766

Informed Trading and Expected Returns

Choi, James J. - 2013

Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of...

Persistent link: https://www.econbiz.de/10012459983

Time-Varying Betas and Asymmetric Effect of News : Empirical Analysis of Blue Chip Stocks

Cho, Young-Hye - 1999

We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...

Persistent link: https://www.econbiz.de/10012471454

Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns

Andersen, Torben G. - 1996

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...

Persistent link: https://www.econbiz.de/10012473082

Measuring and Testing the Impact of News on Volatility

Engle, Robert F. - 1991

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests...

Persistent link: https://www.econbiz.de/10012475330

Asset Returns, Discount Rate Changes and Market Efficiency

Smirlock, Michael - 1984

The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the dictinction between "technicral" discount rate changes that are endogenous...

Persistent link: https://www.econbiz.de/10012477556