Narrow search
Showing 1 - 10 of 812
Cover Image
Detecting Crowded Trades in Currency Funds
Pojarliev, Momtchil - 2010
The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...
Persistent link: https://www.econbiz.de/10013148380
Cover Image
A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
Cover Image
Equity Yields
van Binsbergen, Jules H. - 2011
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend...
Persistent link: https://www.econbiz.de/10013120296
Cover Image
Attention, Demographics, and the Stock Market
DellaVigna, Stefano - 2010
Do investors pay enough attention to long-term fundamentals? We consider the case of demographic information. Cohort size fluctuations produce forecastable demand changes for age-sensitive sectors, such as toys, bicycles, beer, life insurance, and nursing homes. These demand changes are...
Persistent link: https://www.econbiz.de/10012762482
Cover Image
Short Sale Constraints and Stock Returns
Jones, Charles M. - 2010
Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...
Persistent link: https://www.econbiz.de/10012763109
Cover Image
Equity Market Liberalizations as Country Ipos
Martell, Rodolfo - 2009
Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...
Persistent link: https://www.econbiz.de/10012767766
Cover Image
Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
Cover Image
Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks
Kim, Jung-Wook - 2013
Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%,...
Persistent link: https://www.econbiz.de/10012753216
Cover Image
Assessing China's Top-Down Securities Markets
allen, william - 2011
China's securities markets are unlike those of Amsterdam, London or New York. Those markets evolved over centuries from … spontaneous securities markets did emerge throughout China in the 1980s following the start of economic liberalization, but these …
Persistent link: https://www.econbiz.de/10013131132
Cover Image
The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive … effect on firms exporting to China but little positive or even a negative impact on those providing inputs for China …'s processing exports. Stock prices rise for firms competing with China in their home market while falling for firms importing …
Persistent link: https://www.econbiz.de/10013118251