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Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation
Froot, Kenneth - 2001
informed traders also know. There can be multiple herding equilibria, and herding speculators may even choose to study …
Persistent link: https://www.econbiz.de/10012787681
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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
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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
Barberis, Nicholas - 2006
explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …
Persistent link: https://www.econbiz.de/10012779644
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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10013129191
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Garleanu, Nicolae - 2011
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe...
Persistent link: https://www.econbiz.de/10013130262
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The Real Effects of Financial Markets
Bond, Philip - 2011
A large amount of activity in the financial sector occurs in secondary financial markets, where securities are traded among investors without capital flowing to firms. The stock market is the archetypal example, which in most developed economies captures a lot of attention and resources. Is the...
Persistent link: https://www.econbiz.de/10013117118
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The Lucas Orchard
Martin, Ian - 2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
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Valuation, Adverse Selection, and Market Collapses
Fishman, Michael J. - 2012
We study a market for funding real investment in which valuation creates information on which adverse selection can occur. Unlike in previous models, higher amounts of valuation are associated with lower market prices and so greater returns to valuation, and this strategic complementarity in the...
Persistent link: https://www.econbiz.de/10013100990
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Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization
Stulz, René M. - 2008
As barriers to international investment fall and technology improves, the cost advantages for a firm's securities to trade publicly in the country in which that firm is located and for that country to have a market for publicly traded securities distinct from the capital markets of other...
Persistent link: https://www.econbiz.de/10012770679
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Impediments to Financial Trade : Theory and Applications
Garleanu, Nicolae - 2016
We propose a tractable model of an informationally inefficient market featuring non-revealing prices, no noise traders, and general assumptions on preferences and payoff distributions. We show the equivalence between our model and a substantially simpler model whereby investors face...
Persistent link: https://www.econbiz.de/10012982023