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Announcements, Expectations, and Stock Returns with Asymmetric Information
Han, Leyla Jianyu - 2020
Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...
Persistent link: https://www.econbiz.de/10012846330
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Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition
Liu, Hong - 2010
We propose a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities...
Persistent link: https://www.econbiz.de/10013146613
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Information Revelation and Market Incompleteness
Marin, Jose M. - 2012
This paper introduces a theory of market incompleteness based on the information transmission role of prices and its …
Persistent link: https://www.econbiz.de/10013110179
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Optimal Research in Financial Markets with Heterogeneous Private Information : A Rational Expectations Model
Tinn, Katrin - 2021
This paper investigates prices and endogenous research decision for financial assets. In rational expectations models with public information, higher order beliefs make investors to overweight the public information relative to underlying fundamentals. The extent of this mispricing is higher if...
Persistent link: https://www.econbiz.de/10013318514
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Redistribution of return inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012499593
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Testing the CAPM Under Asymmetric Information
Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022
portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal … benchmark to consider for the conditional CAPM(s)? Many CAPM empirical tests consider future realized returns as proxies for … correct benchmark for testing the CAPM from the perspective of this investor. Our empirical results provide a more optimistic …
Persistent link: https://www.econbiz.de/10013292834
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Information shocks and the cross section of expected returns
Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2023
In this paper, we document that households' consumption expenditures crucially depend on their expected earnings - even after controlling for realized earnings, wealth and time-invariant unobserved characteristics such as permanent income and over-confidence. To explain this evidence, we develop...
Persistent link: https://www.econbiz.de/10014249642
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2022
Persistent link: https://www.econbiz.de/10013355203
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2022
In this paper, we document that households’ consumption expenditures depend on their expected earnings - even after controlling for realized earnings and wealth. To explain this evidence, we develop and structurally estimate a standard-incomplete markets model in which rational households...
Persistent link: https://www.econbiz.de/10013329447