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The Power of Forward Guidance Revisited
McKay, Alisdair - 2015
In recent years, central banks have increasingly turned to “forward guidance” as a central tool of monetary policy, especially as interest rates around the world have hit the zero lower bound. Standard monetary models imply that far future forward guidance is extremely powerful: promises...
Persistent link: https://www.econbiz.de/10013029553
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Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality
Krueger, Alan B. - 2000
interest rates on the day the employment data are released finds no evidence that the bond market's reaction to employment news …
Persistent link: https://www.econbiz.de/10012789105
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Asset Returns, Discount Rate Changes and Market Efficiency
Smirlock, Michael L. - 2010
with the rapid price adjustment implied by market efficiency …
Persistent link: https://www.econbiz.de/10012762968
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Efficiency and Information Transmission in Bilateral Trading
Shimer, Robert - 2015
trader can walk away from a proposed trade when he learns the trading price. We show that when one trader's information is …
Persistent link: https://www.econbiz.de/10013017078
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Learning from Prices : Public Communication and Welfare
Amador, Manuel - 2008
informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can …
Persistent link: https://www.econbiz.de/10012770589
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New Trading Practices and Short-Run Market Efficiency
Froot, Kenneth; Perold, André - 2021
We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years,...
Persistent link: https://www.econbiz.de/10013218423
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Fads, Martingales, and Market Efficiency
Lehmann, Bruce Neal - 2021
predictable variation: (1)market inefficiency, and stock price 'overreaction' due to speculative 'fads' and (2) predictable …
Persistent link: https://www.econbiz.de/10013224970
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R-Squared and the Economy
Morck, Randall - 2013
Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity with which firm-specific events occur. A functionally efficient stock market allocates capital to its highest value uses, which often amounts to financing Schumpeterian creative...
Persistent link: https://www.econbiz.de/10013082425
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The Boats that Did Not Sail : Asset Price Volatility and Market Efficiency in a Natural Experiment
Koudijs, Peter - 2013
exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that … prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence …
Persistent link: https://www.econbiz.de/10013086300
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Have Financial Markets Become More Informative?
Bai, Jennie - 2014
revolution. But have market prices become more informative? We derive a welfare-based measure of price informativeness: the … predicted variation of future cash flows from current market prices. Since 1960, price informativeness has increased at longer … investment a stronger predictor of cash flows. These results suggest increased revelatory price efficiency …
Persistent link: https://www.econbiz.de/10013053306