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Many researchers have conducted experiments to study different aspects of insider trading. Experimental laboratory asset markets allow the researcher to control parameters that are impossible to control or even measure in empirical data (e.g., fundamental value of the asset, quality and quantity...
Persistent link: https://www.econbiz.de/10013217853
I analyze a general setting where a policy maker needs information that financial market traders have in order to implement her optimal policy, and market prices can potentially reveal this information. Policy decisions, in turn, affect asset values, hence forward looking traders may have...
Persistent link: https://www.econbiz.de/10012901775
Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...
Persistent link: https://www.econbiz.de/10013036476
We find that when more independent directors rank a directorship high, the firm-specific information content in a firm's stock price increases. Further, independent directors with high reputation incentives serve firms that voluntarily disclose more information and display lower crash risk. We...
Persistent link: https://www.econbiz.de/10012971075
When can policy makers use policy-relevant information from financial market prices and how does policy affect price informativeness? I analyze a novel setting with noise where a policy maker tries to infer information about a state variable from prices to improve policy decisions, and policy in...
Persistent link: https://www.econbiz.de/10012937900
We develop a model of dynamic limit order markets under asymmetric information that can be simplified enough to be solved analytically. We find that informed traders tend to “make” liquidity in illiquid markets and “take” liquidity from more liquid markets. Time between arrivals of limit...
Persistent link: https://www.econbiz.de/10012823680
We analyze the corporate green bond market under a rational framework without an innate green preference, using a simple adverse selection model. Firms can use green bonds to signal their green credentials to investors. Transition risk stems from uncertainty over the introduction of carbon...
Persistent link: https://www.econbiz.de/10014258404
Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...
Persistent link: https://www.econbiz.de/10013116023
In this paper, I examine the relations between risk management disclosures, governance, and the market pricing of the fair value gains and losses (FVGL) for US commercial bank holding companies (banks). I find that banks with strong corporate governance disclose more about their risk management...
Persistent link: https://www.econbiz.de/10014048368
This study investigates whether and how financial constraints on firms affect the risk of their stock prices crashing. We find strong evidence that financial constraints increase future stock price crash risk. This finding is robust to using a dynamic panel generalized method of moments (GMM)...
Persistent link: https://www.econbiz.de/10013250956