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Desmet, Klaus; Rossi-Hansberg, Esteban - C.E.P.R. Discussion Papers - 2010

distribution into three main components: efficiency, amenities, and frictions. Higher efficiency and better amenities lead to … MSAs in the United States, we parametrize the model and empirically estimate efficiency, amenities and frictions …

Persistent link: https://www.econbiz.de/10008784710

Endogenous Policy Leads to Inefficient Risk-Sharing

Celentani, Marco; Conde-Ruiz, José Ignacio; Desmet, Klaus - C.E.P.R. Discussion Papers - 2003

an attempt to manipulate security prices to their benefit. This leads to incomplete risk-sharing, despite the existence … of complete markets and the absence of aggregate risk. When a fiscal union centralizes fiscal policy, security prices can …

Persistent link: https://www.econbiz.de/10005656441

Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias

Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility … fraction of ‘irrational’ investor trades in a stock increases, stock volatility, return and trading volume decrease. We further …

Persistent link: https://www.econbiz.de/10005791546

Dispersion of Opinion and Stock Returns

Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-95 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors...

Persistent link: https://www.econbiz.de/10005067367