Similar Search Results

Dynamic Trading and Asset Prices : Keynes vs. Hayek

Cespa, Giovanni - 2011

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10013134234

Market Transparency and Fragility

Cespa, Giovanni - 2019

market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more … liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial … dearth of liquidity degenerating into a liquidity rout (as in a ash crash). In a fully transparent market, liquidity is …

Persistent link: https://www.econbiz.de/10012902334

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141185

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - CESifo - 2010

Persistent link: https://www.econbiz.de/10008572494

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2017

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/10012963776

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10012953959

Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy

Cafiso, Gianluca - 2015

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

Persistent link: https://www.econbiz.de/10013021758

Monetary Policy with Diverse Private Expectations

Kurz, Mordecai - 2015

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

Persistent link: https://www.econbiz.de/10013024741

Applicaton of Stochastic Optimal Control to Financial Market Debt Crises

Stein, Jerome L. - 2013

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10012753227

No-Trade in the Laboratory

Angrisani, Marco - 2013

We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains...

Persistent link: https://www.econbiz.de/10012753387

1
2
3
4
5
6
7
8
9
10
Next
Last