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The Information Content of Dividends: Safer Profits, Not Higher Profits
Michaely, Roni; Rossi, Stefano; Weber, Michael - 2017
model’s predictions, cash-flow volatility changes in the opposite direction from that of dividend changes and larger changes …
Persistent link: https://www.econbiz.de/10011777616
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Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking
Li, Ye; Mayer, Simon - 2021
Stablecoins rise to meet the demand for safe assets in decentralized finance. Stablecoin issuers transform risky reserve assets into tokens of stable values, deploying a variety of tactics. To address the questions on the viability of stablecoins, regulations, and the initiatives led by large...
Persistent link: https://www.econbiz.de/10012657966
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Money Creation in Decentralized Finance : A Dynamic Model of Stablecoin and Crypto Shadow Banking
Li, Ye; Mayer, Simon - 2021
Stablecoins rise to meet the demand for safe assets in decentralized finance. Stablecoin issuers transform risky reserve assets into tokens of stable values, deploying a variety of tactics. To address the questions on the viability of stablecoins, regulations, and the initiatives led by large...
Persistent link: https://www.econbiz.de/10013214344
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Optimal Firms's Dividend and Capital Structure for Mean Reverting Profitability
Menoncin, Francesco; Panteghini, Paolo M.; Regis, Luca - 2021
solved in a quasiexplicit form by computing both the optimal dividend and the optimal debt. Finally, we calibrate the model … particular, our results show that the optimal dividend is smooth over time and that leverage is predominantly constant over time …
Persistent link: https://www.econbiz.de/10013314671
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Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem; Johnsson, Ida - 2016
This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10011615827
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High Frequency Trading and Fragility
Cespa, Giovanni; Vives, Xavier - 2016
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders’ liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011615834
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni; Vives, Xavier - 2018
We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies in a context of limited market participation. To this end we integrate a two-period market microstructure model with an exchange competition model with entry in which exchanges...
Persistent link: https://www.econbiz.de/10012018123
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Measuring Euro Area Monetary Policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012052805
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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 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/10011931979
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Long run and cyclical dynamics in the US stock market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007
, real risk-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing … found only for the price/dividend ratio. When the cyclical component is also taken into account, the series appear to be … stationary but to exhibit long memory with respect to both components in almost all cases. The exception is the price/dividend …
Persistent link: https://www.econbiz.de/10010264167