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Equity market liberalizations as country IPOs

Martell, Rodolfo - 2003

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/10012469222

Stock Market Efficiency and Economic Efficiency : Is There a Connection?

Dow, James - 1995

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/10012473644

The Theory of Unconventional Monetary Policy

Farmer, Roger - 2016

This paper is about the effectiveness of qualitative easing, a form of unconventional monetary policy that changes the risk composition of the central bank balance sheet with the goal of stabilizing economic activity. We construct a general equilibrium model where agents have rational...

Persistent link: https://www.econbiz.de/10012456540

Smooth Diagnostic Expectations

Bianchi, Francesco; Ilut, Cosmin L.; Saijo, Hikaru - National Bureau of Economic Research - 2024

We introduce "smooth diagnosticity." Under smooth diagnosticity, agents over-react to new information defined as the difference between the current information set and a previous information set. Since new information typically changes not just the conditional mean, but also the conditional...

Persistent link: https://www.econbiz.de/10014486243

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/10012463704

Efficiency and the Bear : Short Sales and Markets around the World

Goetzmann, William N. - 2003

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...

Persistent link: https://www.econbiz.de/10012469237

The Granular Nature of Large Institutional Investors

Ben-David, Itzhak - 2016

Large institutional investors own an increasing share of equity markets. We conjecture that a financial market in which large institutions dominate operates differently than a market populated by smaller independent investors. To support this view, we show that funds within the same family...

Persistent link: https://www.econbiz.de/10012456429

Spending and Job-Finding Impacts of Expanded Unemployment Benefits : Evidence from Administrative Micro Data

Ganong, Peter; Greig, Fiona E.; Noel, Pascal J.; … - National Bureau of Economic Research - 2022

We show that the largest increase in unemployment benefits in U.S. history had large spending impacts and small job-finding impacts. This finding has three implications. First, increased benefits were important for explaining aggregate spending dynamics--but not employment dynamics--during the...

Persistent link: https://www.econbiz.de/10013361970

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market

Boudoukh, Jacob - 2003

fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

Persistent link: https://www.econbiz.de/10012469188

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