Showing 1 - 10 of 40
We construct a neural network algorithm that generates price predictions for art at auction, relying on both visual and non-visual object characteristics. We find that higher automated valuations relative to auction house pre-sale estimates are associated with substantially higher...
Persistent link: https://www.econbiz.de/10013555468
We analyze the performance of marketplace lending using loan cash flow data from the largest platform, Lending Club. We find substantial risk-adjusted performance of about 40 basis points per month for the entire loan portfolio. Other loan portfolios grouped by risk category have similar...
Persistent link: https://www.econbiz.de/10014234414
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...
Persistent link: https://www.econbiz.de/10003980636
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/10003980637
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10009765353
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10009768272
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...
Persistent link: https://www.econbiz.de/10010201320
We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and...
Persistent link: https://www.econbiz.de/10010201326
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010412353
The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, but caveats concern model solubility and weak identification. We propose a twostep...
Persistent link: https://www.econbiz.de/10010412357