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The signaling effects of fiscal announcements
Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024
Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and...
Persistent link: https://www.econbiz.de/10015052575
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Aggregate insider trading and stock market volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …
Persistent link: https://www.econbiz.de/10014304456
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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/10011587522
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
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Portfolio sales and signaling
Bougheas, Spiros P.; Worrall, Timothy - 2017
have better information about loan types on their books, and some commitment power to sales, can profit by pooling assets …
Persistent link: https://www.econbiz.de/10011610925
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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas; Osler, Carol; Schmeling, Maik - 2010
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/10003969203
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011897589
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Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018
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 …
Persistent link: https://www.econbiz.de/10011888693
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On the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex - 2018
whole it appears that the frequency of overreactions can provide useful information about market developments and for …
Persistent link: https://www.econbiz.de/10011844559