Narrow search
Showing 1 - 10 of 387
Cover Image
Do asset prices reflect fundamentals? : Freshly squeezed evidence from the OJ market
Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing; … - 2003
Persistent link: https://www.econbiz.de/10001738945
Cover Image
Activism, strategic trading, and liquidity
Back, Kerry E.; Collin-Dufresne, Pierre; Fos, Vyacheslav; … - 2016
Persistent link: https://www.econbiz.de/10011581417
Cover Image
Noise as information for illiquidity
Hu, Xing; Pan, Jun; Wang, Jiang - 2010
"We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount … more "noise.'' As such, noise in the Treasury market can be informative and we expect this information about liquidity to … - high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of …
Persistent link: https://www.econbiz.de/10008702217
Cover Image
The survival of noise trades in financial markets
DeLong, James Bradford (contributor) - 1988
Persistent link: https://www.econbiz.de/10000757861
Cover Image
The real effects of investor sentiment
Polk, Christopher; Sapienza, Paola - 2004
Persistent link: https://www.econbiz.de/10002119431
Cover Image
Noise traders
Dow, James; Gorton, Gary - 2006
Persistent link: https://www.econbiz.de/10003330673
Cover Image
Incomplete information, higher-order beliefs and price inertia
Angeletos, Marios; La'O, Jennifer - 2009
Persistent link: https://www.econbiz.de/10003849004
Cover Image
On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - 2010
"We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...
Persistent link: https://www.econbiz.de/10008697775
Cover Image
Chasing noise
Mendel, Brock; Shleifer, Andrei - 2010
"We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. We fill a theoretical gap in the literature by showing conditions under which noise traders...
Persistent link: https://www.econbiz.de/10003975948
Cover Image
Analyzing the spectrum of asset returns : jump and volatility components in high frequency data
Aït-Sahalia, Yacine; Jacod, Jean - 2010
Persistent link: https://www.econbiz.de/10003951823