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Information Uncertainty and the Reaction of Stock Prices to News
Angelini, Paolo - 2010
Recent theoretical papers suggest that high uncertainty about firms' economic prospects can explain delays in the adjustment of their stock prices to economic news. Using analyst forecast revisions and earnings announcements as proxies of news, we find mixed evidence in support of this...
Persistent link: https://www.econbiz.de/10013136539
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Informational Contagion in the Laboratory
Cipriani, Marco - 2016
with correlated fundamentals open sequentially and in both of them subjects receive private information. Subjects in the … markets private information is only imperfectly aggregated, subjects are able to make correct inferences based on the public … information coming from the market that opens first. We thus observe financial contagion under laboratory conditions: the …
Persistent link: https://www.econbiz.de/10012980828
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...
Persistent link: https://www.econbiz.de/10009673701
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Equity Tail Risk in the Treasury Bond Market
Rubin, Mirco; Ruzzi, Dario - 2021
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk as the option-implied stock market volatility that stems from large negative jumps as in Bollerslev, Todorov and Xu (2015), and assess its value in reduced-form predictive...
Persistent link: https://www.econbiz.de/10013233161
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An analysis of objective inflation expectations and inflation risk premia
Cecchetti, Sara; Grasso, Adriana; Pericoli, Marcello - 2022
We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...
Persistent link: https://www.econbiz.de/10014235921
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...
Persistent link: https://www.econbiz.de/10010058691
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Momentum in the Tunisian stocks returns : identification of some risk factors
Zoghlami, Faten - In: Journal of applied finance & banking 1 (2011) 2, pp. 207-229
This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...
Persistent link: https://www.econbiz.de/10009536150
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013131934
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Macroeconomic Determinants of Carry Trade Activity
Anzuini, Alessio - 2011
From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...
Persistent link: https://www.econbiz.de/10013118369