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Avoiding Idiosyncratic Volatility : Flow Sensitivity to Individual Stock Returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - National Bureau of Economic Research - 2023
Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme...
Persistent link: https://www.econbiz.de/10014322748
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Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...
Persistent link: https://www.econbiz.de/10012455121
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Institutional Investors and Stock Market Volatility
Gabaix, Xavier - 2005
We present a theory of excess stock market volatility, in which market movements are due to trades by very large …
Persistent link: https://www.econbiz.de/10012466944
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High Frequency Traders : Taking Advantage of Speed
Aït-Sahalia, Yacine - 2013
volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …
Persistent link: https://www.econbiz.de/10012459130
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Liquidity Shocks and Order Book Dynamics
Biais, Bruno - 2009
We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and...
Persistent link: https://www.econbiz.de/10012463640
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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison - 1997
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472491
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
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/10012472554
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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Dumas, Bernard - 2005
price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two … exploit, and hence, eliminate excessive volatility, except in the very long run." …
Persistent link: https://www.econbiz.de/10012466868
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Dynamic Asset Allocation With Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …
Persistent link: https://www.econbiz.de/10012469608
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914