Showing 1 - 10 of 436
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
This paper introduces bond market order flow as a predictor variable in term structuremodels and provides evidence that order flow has forecasting ability over and above thatof forward rates. Both in-sample and out-of-sample forecasts show that models includ-ing interdealer order flow outperform...
Persistent link: https://www.econbiz.de/10009305181
This study examines the lead-lag-relationship between European equity and CDSmarkets in the context of the financial crisis. Previous research identified the stock market tolead the CDS market in an ordinary economic environment. Against the background of ourstudy this lead-lag-relationship...
Persistent link: https://www.econbiz.de/10008939844
This paper deals with the modeling of the relationship of European Union Al-lowance spot- and futures-prices within the second commitment period of the Eu-ropean Union Emission Trading Scheme. Based on high frequency data, we analyzecausality in the ¯rst and the second conditional moments. To...
Persistent link: https://www.econbiz.de/10009249014
Analysts providing more accurate earnings forecasts also issue moreprofitable recommendations. We demonstrate how investors can profit fromthis contemporaneous link by differentiating between “able” and “lucky”analysts. In line with previous studies, we find that past track records...
Persistent link: https://www.econbiz.de/10009302619
This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock price is linearlyand positively correlated with market...
Persistent link: https://www.econbiz.de/10009305076
This paper extends earlier studies on exchange rate expectations' formation by using newdata and adding information about forecasters' reliance on fundamental analysis for the firsttime. We replicate the conventional result of non rational expectations. Moreover, biases inexpectations are...
Persistent link: https://www.econbiz.de/10005867586
The use of technical analysis by financial market professionals is not well understood. Thispaper thus analyzes survey evidence from 692 fund managers in five countries, the vast majorityof whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis isthe most...
Persistent link: https://www.econbiz.de/10005870741
I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...
Persistent link: https://www.econbiz.de/10005862886
We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signallinghypothesis and, to some extent, the market cyclicality hypothesis...
Persistent link: https://www.econbiz.de/10005863001