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Do Prices Reveal the Presence of Informed Trading?
Collin-Dufresne, Pierre - 2012
Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...
Persistent link: https://www.econbiz.de/10013099415
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Understanding How Price Responds to Costs and Production
Bils, Mark; Chang, Yongsung - 2021
a large empirical literature from the 1950's and 60's, that it is necessary to distinguish the response of price to an … two models that can potentially explain these findings. Both break the link between price and marginal cost, thereby … second is driven by firms pricing to limit non-price competition within their market …
Persistent link: https://www.econbiz.de/10013310210
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Stock Return Predictability : Is it There?
Bekaert, Geert - 2010
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2014
unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …
Persistent link: https://www.econbiz.de/10013054039
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10013083081
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Learning About CEO Ability and Stock Return Volatility
Pan, Yihui - 2013
stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about …
Persistent link: https://www.econbiz.de/10013085131
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10013073570
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How are Stock Prices Affected by the Location of Trade?
Froot, Kenneth - 2008
's relative price rises when the market on which it is relatively intensively traded rises. We examine several explanations for …-specific sentiment shocks affect share price movements of locally-traded stocks in proportion to their local trading/ownership intensity …
Persistent link: https://www.econbiz.de/10012774894
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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Why Does the Stock Market Fluctuate?
Barsky, Robert - 2002
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012787482