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The Granular Nature of Large Institutional Investors
Ben-David, Itzhak - 2016
Large institutional investors own an increasing share of the equity markets in the U.S. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in...
Persistent link: https://www.econbiz.de/10012992142
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Asset Returns, Discount Rate Changes and Market Efficiency
Smirlock, Michael - 2010
The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the dictinction between quot;technicralquot; discount rate changes that are...
Persistent link: https://www.econbiz.de/10012762968
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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
We examine the impact of renminbi revaluation on firm valuations, considering two surprise announcements of changes in 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...
Persistent link: https://www.econbiz.de/10013118251
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Risk Preferences and the Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012984765
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Levered Returns
Welch, Ivo - 2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012994892
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The Limitations of Stock Market Efficiency : Price Informativeness and CEO Turnover
Gorton, Gary B. - 2009
Stock prices are more informative when the information has less social value. Speculators with limited resources making costly (private) information production decisions must decide to produce information about some firms and not others. We show that producing and trading on private information...
Persistent link: https://www.econbiz.de/10013159958
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Stock Market Efficiency and Economic Efficiency : Is There a Connection?
Dow, James - 2008
In a capitalist economy prices serve to equilibrate supply and demand for goods and services, continually changing to reallocate resources to their most efficient uses. However, secondary stock market prices, often viewed as the most 'informationally efficient' prices in the economy, have no...
Persistent link: https://www.econbiz.de/10012774997
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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
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The Theory of Unconventional Monetary Policy
Farmer, Roger E. A. - 2016
risk composition of the central bank balance sheet with the goal of stabilizing economic activity. We construct a general … agents are unable to participate in financial markets. We show that a change in the risk composition of the central bank …'s balance sheet will change equilibrium asset prices and we prove that, in our model, a policy in which the central bank …
Persistent link: https://www.econbiz.de/10012995518
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The New Fama Puzzle
Bussière, Matthieu - 2018
We re-examine the Fama (1984) puzzle – the finding that ex post depreciation and interest differentials are negatively correlated, contrary to what theory suggests – for eight advanced country exchange rates against the US dollar, over the period up to June 2019. The rejection of the joint...
Persistent link: https://www.econbiz.de/10012927015