Showing 1 - 10 of 20,542
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10003814462
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, it is possible to hold more than one (small-r) “rational” expectation. When rational...
Persistent link: https://www.econbiz.de/10012919580
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...
Persistent link: https://www.econbiz.de/10012181099
We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component. Agents cannot observe the component but learn about...
Persistent link: https://www.econbiz.de/10013291472
The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a behavioural perspective, model uncertainty naturally leads to...
Persistent link: https://www.econbiz.de/10013043893
Prior studies show that investor learning about earnings-based return predictors from academic research erodes return predictability. However, the signaling power of “bottom-line” earnings has declined over time, which complicates assessments of investor learning about profitability signals...
Persistent link: https://www.econbiz.de/10012891102
The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....
Persistent link: https://www.econbiz.de/10013090197
In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...
Persistent link: https://www.econbiz.de/10011803199
This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory …
Persistent link: https://www.econbiz.de/10010356865
This paper reveals that in addition to fundamental factors, the 52-week high price and recent investor sentiment play an important role in analysts' target price formation. Analysts' forecasts of short-term earnings and long-term earnings growth are shown to be important explanatory variables...
Persistent link: https://www.econbiz.de/10012857242