Similar Search Results

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

Heterogeneous Beliefs, Asset Prices, and Business Cycles

Bigio, Saki; Silva, Dejanir; Zilberman, Eduardo - National Bureau of Economic Research - 2025

This paper develops a complete-market production economy with heterogeneous beliefs about TFP growth. Hiring occurs before TFP is known and is, therefore, risky (operational leverage). The firm's discount factor depends on a wealth-weighted average of investors' beliefs. Waves of optimism...

Persistent link: https://www.econbiz.de/10015398124

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

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

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

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

Private Information and Sunspots in Sequential Asset Markets

Benhabib, Jess - 2014

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...

Persistent link: https://www.econbiz.de/10012458620

Does Firm-specific Information in Stock Prices Guide Capital Allocation?

Durnev, Artyom - 2001

We show that firms in industries in which firm-specific stock price variation is larger use more external financing and allocate capital with greater precision in the sense that their marginal q ratios are closer to one. According to the Efficient Markets Hypothesis, greater firm-specific stock...

Persistent link: https://www.econbiz.de/10012470636