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Higher order expectations, illiquidity, and short-term trading
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2011
Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …. Equivalently, illiquidity arises as a byproduct of the lack of participation of informed investors in their capacity as liquidity …
Persistent link: https://www.econbiz.de/10010833008
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Dynamic trading and asset prices: Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2007
We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...
Persistent link: https://www.econbiz.de/10005057438
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Price efficiency and short selling
Saffi, Pedro; Sigurdson, Kari - IESE Business School, Universidad de Navarra - 2008
This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...
Persistent link: https://www.econbiz.de/10005021733
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Differences of opinion, information and the timing of trades
Saffi, Pedro - IESE Business School, Universidad de Navarra - 2008
This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....
Persistent link: https://www.econbiz.de/10005021753
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Herd behavior towards the market index: Evidence from 21 financial markets
Wang, Daxue - IESE Business School, Universidad de Navarra - 2008
This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...
Persistent link: https://www.econbiz.de/10005021810
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The determinants of international commercial real estate investments
Lieser, Karsten; Groh, Alexander P. - IESE Business School, Universidad de Navarra - 2011
demographics attract real estate investments and also confirm that lack of transparency in a country's legal framework …
Persistent link: https://www.econbiz.de/10009320553
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Pricing of real estate specific market risks for worldwide 66 countries
Lieser, Karsten - IESE Business School, Universidad de Navarra - 2011
I address the construction of hurdle rates for 66 countries that adequately compensate investors for the real estate specific market risks involved when investing, operating and exiting a foreign market. To estimate the market-based framework, I run random effect panel regressions for a period...
Persistent link: https://www.econbiz.de/10010614918
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The attractiveness of 66 countries for institutional real estate investments: A composite index approach
Lieser, Karsten; Groh, Alexander P. - IESE Business School, Universidad de Navarra - 2010
reasonably with commercial real estate investments as we prove with back-tests over six years. We increase the transparency of …
Persistent link: https://www.econbiz.de/10008641480
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Private equity in emerging markets
Groh, Alexander P. - IESE Business School, Universidad de Navarra - 2009
Why is there such a strong private equity market in the United States or the United Kingdom? Why is activity relatively low in several other economically important countries? And why is it zero or close to zero in many emerging regions? Spatial variations of private equity activity result from...
Persistent link: https://www.econbiz.de/10004970683
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The first step of the capital flow from institutions to entrepreneurs: The criteria for sorting venture capital funds
Groh, Alexander P.; Liectenstein, Heinrich - IESE Business School, Universidad de Navarra - 2009
We contribute to the knowledge about the capital flow from institutional investors, via Venture Capital (VC) funds as intermediaries, to their final destination, entrepreneurial ventures. Therefore, we run a world-wide survey among 1,079 institutional investors to determine the importance of...
Persistent link: https://www.econbiz.de/10008461368