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Mixed signals : investment distortions with adverse selection
Darst, R. Matthew; Refayet, Ehraz - 2019
We study how adverse selection distorts equilibrium investment allocations in a Walrasian credit market with two …-sided heterogeneity. Representative investor and partial equilibrium economies are special cases where investment allocations are … trade and investment allocations below perfect information levels. The degree of heterogeneity between informed agents' type …
Persistent link: https://www.econbiz.de/10012181247
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Rounding and the Impact of News : A Simple Test of Market Rationality
Beechey, Meredith J. - 2007
Certain prominent scheduled macroeconomic news releases contain a rounded number on the first page of the release that is widely cited by newswires and the press and a more precise number in the text of the release. The whole release comes out at once. We propose a simple test of whether markets...
Persistent link: https://www.econbiz.de/10012730506
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Low Frequency Effects of Macroeconomic News on Government Bond Yields
Altavilla, Carlo - 2017
In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic...
Persistent link: https://www.econbiz.de/10012972912
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Flights to Safety
Baele, Lieven - 2014
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...
Persistent link: https://www.econbiz.de/10013051878
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The Importance of Technology in Banking During a Crisis
Pierri, Nicola; Timmer, Yannick - 2022
What are the implications of information technology (IT) in banking for financial stability? Data on US banks' IT equipment and the background of their executives reveals that higher pre-crisis IT adoption led to fewer non-performing loans and more lending during the global financial crisis....
Persistent link: https://www.econbiz.de/10013291005
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Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?
Gilbert, Thomas - 2017
The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with a novel measure of the intrinsic value of an announcement - the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate - and...
Persistent link: https://www.econbiz.de/10012966952
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Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations
Ajello, Andrea - 2014
firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these … of financial assets, directing funds towards investment opportunities, and charge an intermediation spread to cover their … investment volatility …
Persistent link: https://www.econbiz.de/10013064818
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Idiosyncratic Investment Risk and Business Cycles
Goldberg, Jonathan E. - 2014
I show that, due to imperfect risk sharing, aggregate shocks to uncertainty about idiosyncratic return on investment …, with an idiosyncratic uncertainty shock, investment in physical capital can remain low even after the stock market and firm … idiosyncratic investment risk can explain, qualitatively, the aftermath of financial panics -- elevated risk premia, a sharp and …
Persistent link: https://www.econbiz.de/10013059711
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Are All Trade Policies Created Equal? Empirical Evidence for Nonequivalent Market Power Effects of Tariffs and Quotas
Blonigen, Bruce A. - 2012
Over the past 50 years, the steel industry has been protected by a wide variety of trade policies, both tariff- and quota-based. We exploit this extensive heterogeneity in trade protection to examine the well-established theoretical literature predicting nonequivalent effects of tariffs and...
Persistent link: https://www.econbiz.de/10013106835
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The Role of Transfer Prices in Profit-Shifting by U.S. Multinational Firms : Evidence from the 2004 Homeland Investment Act
Flaaen, Aaron - 2017
Homeland Investment Act (HIA), a one-time tax repatriation holiday which generated a discreet change in the incentives for U …
Persistent link: https://www.econbiz.de/10014121187