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Financial Information and Diverging Beliefs
Armstrong, Chris; Heinle, Mirko Stanislav; Luneva, … - 2021
receive, their beliefs may further diverge after they receive the same piece of information. We test this prediction using …
Persistent link: https://www.econbiz.de/10013239075
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Asset liquidity in monetary theory and finance : a unified approach
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019
Economists often say that certain types of assets, e.g., Treasury bonds, are very "liquid". Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...
Persistent link: https://www.econbiz.de/10012101372
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …
Persistent link: https://www.econbiz.de/10012893224
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Strategic uncertainty in financial markets : evidence from a consensus pricing service
Ergun, Lerby M.; Uthemann, Andreas - 2020 - Last updated: December 18, 2020
This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices...
Persistent link: https://www.econbiz.de/10012388763
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Impact of Capital Market Events on Market Efficiency
Bhattacharya, Rajeev R. - 2022
I use eight objective and systematic measures of the efficiency of the market for a stock. Based on the market microstructure models of Kyle and Obizhaeva (2016) and Bhattacharya (2019), I develop a six-equation (five- for non-Nasdaq stocks) structural model with market efficiency as a function...
Persistent link: https://www.econbiz.de/10013297242
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Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
in. We find that firm level information appears to beused as a gauge for transition risk, in particular since 2015 …
Persistent link: https://www.econbiz.de/10013404918
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Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
. We find that firm level information appears to beused as a gauge for transition risk, in particular since 2015, whereas …
Persistent link: https://www.econbiz.de/10013307730
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Bayesian learning in financial markets : testing for the relevance of information precision in price discovery
Hautsch, Nikolaus; Hess, Dieter - 2004
price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption … detail information besides the widely used headline figures, we extract release-specific precision measures which allow to … test for the claim of Bayesian updating. We find that the price impact of more precise information is significantly …
Persistent link: https://www.econbiz.de/10009524822