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The persistent effects of a false news shock

Carvalho, Carlos Viana de; Klagge, Nicholas; Mönch, Emanuel - 2009

company’s stock price to drop by as much as 76 percent in just a few minutes, before NASDAQ halted trading. After the “news … that, after three trading sessions, the company’s stock was still trading below the two-standard-deviation confidence band … implied by the model and that it returned to within one standard deviation only during the sixth trading session. On the …

Persistent link: https://www.econbiz.de/10003864579

Capital constraints, counterparty risk, and deviations from covered interest rate parity

Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.

We provide robust evidence of deviations from the covered interest rate parity (CIP) relation since the onset of the financial crisis in August 2007. The CIP deviations exist with respect to several different dollar-denominated interest rates and exchange rate pairings of the dollar vis-à-vis...

Persistent link: https://www.econbiz.de/10003947651

Are market makers uninformed and passive? : Signing trades in the absence of quotes

Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009

We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of...

Persistent link: https://www.econbiz.de/10003947711

Have financial markets become more informative?

Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012

The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...

Persistent link: https://www.econbiz.de/10009657611

Is there an S&P 500 Index effect?

Kasch, Maria; Sarkar, Asani - 2011 - Rev. September 2012

We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance predicts 1) the permanent increase in market value...

Persistent link: https://www.econbiz.de/10009614817

Comovement revisited

Kasch, Maria; Sarkar, Asani - 2011

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...

Persistent link: https://www.econbiz.de/10008935723

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...

Persistent link: https://www.econbiz.de/10002101431

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2005

data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are … trading in large-cap stocks is transmitted to other stocks with a lag, order flows in the large-cap-stock decile predict both …

Persistent link: https://www.econbiz.de/10002746486

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991 … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume … allocation strategies might be designed to reduce trading costs. …

Persistent link: https://www.econbiz.de/10001629622

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …

Persistent link: https://www.econbiz.de/10001752003

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