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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - Center for Financial Studies - 2008
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset … return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The …
Persistent link: https://www.econbiz.de/10010958580
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A...
Persistent link: https://www.econbiz.de/10010958491
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Permanent and transitory policy shocks in an empirical macro model with asymmetric information
Kozicki, Sharon; Tinsley, P. A. - Center for Financial Studies - 2003
Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target of monetary policy is constant; and, (2) the inflation target is known by all economic agents. This paper...
Persistent link: https://www.econbiz.de/10010986417
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Populism and polarization in social media without fake news: The vicious circle of biases, beliefs and network homophily
Hakobyana, Zaruhi; Koulovatianos, Christos - 2019
We build a search-and-matching algorithm of network dynamics with decision-making under incomplete information, seeking to understand the determinants of the observed gradual downgrading of expert opinion on complicated issues and the decreasing trust in science. Even without fake news,...
Persistent link: https://www.econbiz.de/10012063746
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Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information
Kozicki, Sharon; Tinsley, P.A. - Center for Financial Studies - 2003
Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target of monetary policy is constant; and, (2) the inflation target is known by all economic agents. This paper...
Persistent link: https://www.econbiz.de/10005138846
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The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less...
Persistent link: https://www.econbiz.de/10012705617
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The future of securitization
Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2008
Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that misaligned incentives along the value chain are the primary cause...
Persistent link: https://www.econbiz.de/10010986376
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Exit timing of venture capitalists in the course of an initial public offering
Neus, Werner; Walz, Uwe - Center for Financial Studies - 2002
We analyze the desinvestment decision of venture capitalists in the course of an IPO of their portfolio firms. The capital market learns of the project quality only in the period following the IPO. Venture capitalists with high-quality firms face a trade-off between immediately selling their...
Persistent link: https://www.econbiz.de/10010986431
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Evaluation asset pricing models with limited commitment using household consumption data
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - Center for Financial Studies - 2006
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...
Persistent link: https://www.econbiz.de/10010958661
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Taxing Capital? Not a Bad Idea After All!
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - Center for Financial Studies - 2006
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...
Persistent link: https://www.econbiz.de/10005022427