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Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...

Persistent link: https://www.econbiz.de/10011316880

Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - 2001

Persistent link: https://www.econbiz.de/10001569715

Bubbles, crashes and information contagion in large-group asset market experiments

Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019

We experimentally investigate how price expectations are formed in a large asset market where subjects' only task is to forecast the future price of a risky asset. The realized prices depend on these expectations. We observe small (6 participants) and large markets (about 100 participants). In...

Persistent link: https://www.econbiz.de/10011979625

Credit protection and lending relationships

Arping, Stefan - 2012

Persistent link: https://www.econbiz.de/10010190981

Event studies in merger analysis : review and an application using U.S. TNIC data

Klein, Timo - 2020 - Revision: March 2020

There is a growing concern that U.S. merger control may have been too lenient, but empirical evidence remains limited … reviewing the use and challenges of event studies in merger analysis, I use a novel application of Hoberg-Phillips (2010, 2016 ….S. mergers between 1997 and 2017. I document that following a merger announcement, the most likely competitors experience on …

Persistent link: https://www.econbiz.de/10012161053

Macro news, riskfree rates, and the intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...

Persistent link: https://www.econbiz.de/10011373834

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152

Risk and savings : a taxonomy

Gunning, Jan Willem - 2008

Risk may induce precautionary saving but it can also reduce saving. The theoretical literature recognizes both possibilities, but favors a positive effect (both for developed and developing countries); the empirical literature is divided, reporting (small) positive effects for developed...

Persistent link: https://www.econbiz.de/10011376643

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments. One is a call market experiment in which participants trade assets with each other. The other is a learning-to-forecast experiment in which participants only forecast future...

Persistent link: https://www.econbiz.de/10011932581

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Persistent link: https://www.econbiz.de/10011326944

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