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Inertia in social learning from a summary statistic
Larson, Nathan - Volkswirtschaftliche Fakultät, … - 2008
We model normal-quadratic social learning with agents who observe a summary statistic over past actions, rather than complete action histories. Because an agent with a summary statistic cannot correct for the fact that earlier actions influenced later ones, even a small presence of old actions...
Persistent link: https://www.econbiz.de/10011260412
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Does trading remove or bring frictions?
Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010
We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market....
Persistent link: https://www.econbiz.de/10009654205
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Inertia in social learning from a summary statistic
Larson, Nathan - Volkswirtschaftliche Fakultät, … - 2008
We model normal-quadratic social learning with agents who observe a summary statistic over past actions, rather than complete action histories. Because an agent with a summary statistic cannot correct for the fact that earlier actions influenced later ones, even a small presence of old actions...
Persistent link: https://www.econbiz.de/10009211226
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Clustering on the same news sources in an asset market
Larson, Nathan - Volkswirtschaftliche Fakultät, … - 2011
We study the incentives to acquire information from exclusive news sources versus information from popular sources in a CARA-normal asset market. Each trader is able to observe one of a finite number of news sources. Clustering on the most precise source can happen for two reasons. One is...
Persistent link: https://www.econbiz.de/10009246893
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What Causes Herding:Information Cascade or Search Cost ?
Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2009
We analyze in this study what could have caused herding in the stock market. Information cascades have often been … with lower frequency based on a herding measure of Lakonishok, Shleifer, and Vishny (1992). We adopt instead the measure of … Patterson and Sharma (2006) and argue that the search model of Vayanos and Wang (2007) characterize herding phenomenon better …
Persistent link: https://www.econbiz.de/10008592948
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A Note on institutional hierarchy and volatility in financial markets
Alfarano, Simone; Milakovic, Mishael; Raddant, Matthias - Volkswirtschaftliche Fakultät, … - 2011
that the independence assumption of the CLT is violated by herding tendencies among market participants, and investigate … whether a generic probabilistic herding model can reproduce non-Gaussian statistics in systems with a large number of agents …. It is well-known that the presence of a herding mechanism in the model is not sucient for non-Gaussian properties, which …
Persistent link: https://www.econbiz.de/10009021967
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Searching out of Trading Noise: A Study of Intraday Transactions Cost
Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010
Yeo (2008), we analyze the noise proportion in intraday stock returns and its interaction with investor herding and search …
Persistent link: https://www.econbiz.de/10008839491
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Predictable markets? A news-driven model of the stock market
Gusev, Maxim; Kroujiline, Dimitri; Govorkov, Boris; … - Volkswirtschaftliche Fakultät, … - 2014
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and...
Persistent link: https://www.econbiz.de/10011108097
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Investment Decisions by Analysts: A Case Study of KSE
Shaikh, Salman - Volkswirtschaftliche Fakultät, … - 2013
investments. Our results indicate prevalence of herding and overconfidence in professional analysts. We also find that analysts …
Persistent link: https://www.econbiz.de/10011113920
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Foreign Bias in Australian Domiciled Mutual Fund Holdings
Mishra, Anil V - Volkswirtschaftliche Fakultät, … - 2015
The paper develops foreign equity bias measures for Australian domiciled mutual funds, which invest in 41 countries worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and...
Persistent link: https://www.econbiz.de/10011234846