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Financial transaction taxes, market composition, and liquidity
Colliard, Jean-Edouard; Hoffmann, Peter - 2017
We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a...
Persistent link: https://www.econbiz.de/10011637023
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Financial cycles under diagnostic beliefs
Camous, Antoine; Van der Ghote, Alejandro - 2022
with endoge- nous risk-taking and capital accumulation. Agents form diagnostic expectations about future stochastic …
Persistent link: https://www.econbiz.de/10013189255
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Fund fragility : the role of investor base
Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie - 2023
Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign...
Persistent link: https://www.econbiz.de/10014482949
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The pitch rather than the pit : investor inattention during FIFA world cup matches
Ehrmann, Michael; Jansen, David-Jan - 2012
Persistent link: https://www.econbiz.de/10009765230
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Firms' expectations on the availability of credit since the financial crisis
Ferrando, Annalisa; Ganoulis, Ioannis; Preuss, Carsten - 2019
to form expectations on the availability of bank finance. Our results suggest that firms update what otherwise look like … adaptive expectations on the basis of the latest information in their information set. As in the previous literature, the … hypothesis that expectations fulfil the (orthogonality) conditions of the rational expectations hypothesis is rejected by the …
Persistent link: https://www.econbiz.de/10012135893
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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits … stochastic boom-and-bust fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be …
Persistent link: https://www.econbiz.de/10009380930
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Are fund managers rewarded for taking cyclical risks?
Ryan, Ellen - 2022
The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the...
Persistent link: https://www.econbiz.de/10012880721
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Sovereign risk and bank risk-taking
Ari, Anil - 2016
Persistent link: https://www.econbiz.de/10011618254
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Economic surprises and inflation expectations : has anchoring of expectations survived the crisis?
Autrup, Søren Lejsgaard; Grothe, Magdalena - 2014
Persistent link: https://www.econbiz.de/10010380001
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Stock return comovement when investors are distracted : more, and more homogeneous
Ehrmann, Michael; Jansen, David-Jan - 2020
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...
Persistent link: https://www.econbiz.de/10012216666