Similar Search Results

Asset Pricing Under Prior-Induced Beta Uncertainty

Hu, Shuting (Sophia) - 2018

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...

Persistent link: https://www.econbiz.de/10012935196

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

Let's chat ... when communication promotes efficiency in experimental asset markets

Corgnet, Brice; DeSantis, Mark; Porter, David P. - 2020

Persistent link: https://www.econbiz.de/10012209325

Communication and Comovement : Evidence from Online Stock Forums

Jiang, Lei - 2018

We study investor communication and stock comovement using a novel dataset for an active online stock forum in China …. Further, the effect of communication on comovement is stronger for stocks associated with higher information uncertainty. Co …-discussed stocks are more actively traded and experience more correlated trading. A trading strategy that exploits communication …

Persistent link: https://www.econbiz.de/10012937477

Communication and Comovement : Evidence from Online Stock Forums

Jiang, Lei - 2017

We study investor communication and stock comovement using a novel dataset for an active online stock forum in China …. Further, the effect of frequent communication on comovement is stronger for stocks associated with higher information … impact of investor communication on stock return comovement …

Persistent link: https://www.econbiz.de/10012968926

Words Speak as Loudly as Actions : Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements

Gardner, Ben; Scotti, Chiara; Vega, Clara - 2021

We study the impact that macroeconomic news has on equity prices. While the literature has already widely documented the effects of macroeconomic announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news when the description of...

Persistent link: https://www.econbiz.de/10013239088

Words Speak as Loudly as Actions : Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements

Gardner, Benjamin; Scotti, Chiara; Vega, Clara - 2022

While the literature has already widely documented the effects of macroeconomic news announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news based on the description of the state of the economy as painted by the Federal Open...

Persistent link: https://www.econbiz.de/10013309615