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On the Timing and Pricing of Dividends
van Binsbergen, Jules H. - 2010
We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the...
Persistent link: https://www.econbiz.de/10013137025
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …
Persistent link: https://www.econbiz.de/10013074549
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Do "Reverse Payment" Settlements of Brand-Generic Patent Disputes in the Pharmaceutical Industry Constitute an Anticompetitive Pay for Delay?
Drake, Keith - 2014
Brand and generic drug manufacturers frequently settle patent litigation on terms that include a payment to the generic manufacturer along with a specified date at which the generic would enter the market. The Federal Trade Commission contends that these agreements extend the brand's market...
Persistent link: https://www.econbiz.de/10013050310
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor - 2021
, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …
Persistent link: https://www.econbiz.de/10013224117
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Mood Betas and Seasonalities in Stock Returns
Hirshleifer, David A.; Jiang, Danling; Meng, Yuting - 2021
high/low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of …
Persistent link: https://www.econbiz.de/10013224974
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Econometric Models of Limit-Order Executions
Lo, Andrew W.; Mackinlay, A. Craig; Zhang, June - 2021
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10013248406
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Econometric Analysis of Present Value Models When the Discount Factor is Near One
West, Kenneth D. - 2012
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...
Persistent link: https://www.econbiz.de/10013103507
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Exchange Rates and Fundamentals
Engel, Charles M. - 2004
We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...
Persistent link: https://www.econbiz.de/10012785468
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Biased Beliefs About Random Samples : Evidence from Two Integrated Experiments
Benjamin, Daniel J. - 2017
This paper describes results of a pair of incentivized experiments on biases in judgments about random samples. Consistent with the Law of Small Numbers (LSN), participants exaggerated the likelihood that short sequences and random subsets of coin flips would be balanced between heads and tails....
Persistent link: https://www.econbiz.de/10012945615
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Random Walk or a Run : Market Microstructure Analysis of the Foreign Exchange Rate Movements Based on Conditional Probability
Hashi, Yuko - 2010
price tends to be followed by larger reversal. The findings suggest that those market participants who have access to real-time …
Persistent link: https://www.econbiz.de/10012758602