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Interest on cash, fundamental value process and bubble formation on experimental asset markets

Giusti, Giovanni; Jiang, Janet Hua; Xu, Yiping - 2014

We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main … conclusions. The first is that paying positive interest on cash is ineffective in diminishing bubbles through the reducing …-active-participation channel. The second is that the fundamental value generating process plays a critical role in the formation of asset bubbles …

Persistent link: https://www.econbiz.de/10010350019

Fooled by search : housing prices, turnover and bubbles

Peterson, Brian M. - 2012

This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing...

Persistent link: https://www.econbiz.de/10009487808

Central bank communication or the media's interpretation : what moves markets?

Hendry, Scott - 2012

The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Two different text mining methods...

Persistent link: https://www.econbiz.de/10009504648

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10009309462

Household stockholding behavior during the great financial crisis

Zhou, Jie - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10010514033

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341

Does the buck stop here? : a comparison of withdrawals from money market mutual funds with floating and constant share prices

Witmer, Jonathan - 2012

Recent reform proposals call for an elimination of the constant net asset value (NAV) or "buck" in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Using daily...

Persistent link: https://www.econbiz.de/10009583699

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10010496138

The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

Persistent link: https://www.econbiz.de/10012798791