describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

benefits only if they aggregate their private information. Some members of the society, however, are harmed by socially … desirable policies and aim at manipulating information aggregation by misrepresenting their private information. We show that … information can be aggregated and a socially desirable policy can be implemented under a new class of democratic mechanisms …

and private values in the absence of exogenous noise. It is shown how private information yields more market power than … the levels seen with full information. Results obtained here are broadly consistent with evidence from asset auctions, may …

This paper studies how firm-level export performance is affected by Real Exchange Rate (RER) volatility and … than 100,000 Chinese exporters over the 2000-2006 period. We confirm a trade-deterring effect of RER volatility. We find … volatility and that this effect is magnified for financially vulnerable firms. As expected, financial development seems to dampen …

We propose a nonparametric method to study which characteristics provide incremental information for the cross section … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an …