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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth …
Persistent link: https://www.econbiz.de/10013094725
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Revealing Downturns
Schmalz, Martin C. - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10012922837
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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
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The Changing Macroeconomic Response to Stock Market Volatility Shocks
Beetsma, Roel M. W. J. - 2011
activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …
Persistent link: https://www.econbiz.de/10013117909
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The Impact of Creditor Protection on Stock Prices in the Presence of Liquidity Crises : Theory and Cross-Country Evidence
Hale, Galina - 2013
across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …
Persistent link: https://www.econbiz.de/10013091211
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The Impact of Creditor Protection on Stock Prices in the Presence of Credit Crunches
Hale, Galina - 2013
Data show that better creditor protection is correlated across countries with lower average stock market volatility …
Persistent link: https://www.econbiz.de/10013093466
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10012954361
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Pulling Up the Tarnished Anchor : The End of Silver As a Global Unit of Account
Fernholz, Ricardo T. - 2017
suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …
Persistent link: https://www.econbiz.de/10012955754
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012958874
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012910613