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Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
Christensen, Peter O.; Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, we show that public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. In a model with exponential utility investors and an asset with a normally distributed dividend,...
Persistent link: https://www.econbiz.de/10010851221
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Heterogeneous Beliefs, Public Information, and Option Markets
Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl?uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...
Persistent link: https://www.econbiz.de/10010851283
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Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs
Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In a framework of heterogeneous beliefs, I investigate a two-date consumption model with continuous trading over the interval [0; T], in which information on the aggregate consumption at time T is revealed by an Ornstein-Uhlenbeck Bridge. This information structure allows investors to speculate...
Persistent link: https://www.econbiz.de/10010851297
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig V.; Rangvid, Jesper - School of Economics and Management, University of Aarhus - 2012
We show that macroeconomic growth at the end of the year (fourth-quarter or December) strongly predicts the returns of the aggregate market, small- and large-cap stocks, portfolios sorted on book-to-market and dividend yields, bond returns, and international stock returns, whereas economic...
Persistent link: https://www.econbiz.de/10010851234
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and …-term volatility solely because it generates systematic classification errors that are correlated with trading volume and return … volatility. When controlling for trading intensity and volatility, the BVC-VPIN measure has no incremental predictive power for …
Persistent link: https://www.econbiz.de/10010851243
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...
Persistent link: https://www.econbiz.de/10009293656
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …
Persistent link: https://www.econbiz.de/10009399368
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VPIN and the Flash Crash
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011
VPIN a good forecaster of short-term volatility. In contrast, we find that VPIN is a poor volatility predictor, that it …
Persistent link: https://www.econbiz.de/10009644870
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Cross listing: price discovery dynamics and exchange rate effects
Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014
The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...
Persistent link: https://www.econbiz.de/10011098648
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Expected Stock Returns and Variance Risk Premia
Bollerslev, Tim; Hao, Tzuo; Tauchen, George - School of Economics and Management, University of Aarhus - 2008
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a non-trivial fraction of...
Persistent link: https://www.econbiz.de/10005114114