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Direct Information Epidemics and Broadcasts : Implications for Asset Prices, Returns, and Volume

Sastry, Ravi - 2014

direct information flow across investors. Our market setting has the virtue of extreme simplicity including atomistic … investors, continuous trading, and a diversified asset market. Regarding direct information epidemics, previous predictions of … an "S" curve in prices and non-monotonicity in returns are shown to depend on details of the information event exogenous …

Persistent link: https://www.econbiz.de/10013054051

The real side of the high-volume return premium

Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - 2017

corporate disclosures, nor by subsequent earnings information, and is concentrated among firms with high fi nancial constraints …

Persistent link: https://www.econbiz.de/10011800651

Stock Portfolio with Fama-French Model in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2011

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

Persistent link: https://www.econbiz.de/10013123907

Inside information and public news : R-squared and beyond

Brown, William O. - 1999

private information. This suggests that economists' inability to explain asset price movements is the result of either noise …

Persistent link: https://www.econbiz.de/10011566279

Information Uncertainties and Asset Pricing Puzzles : Risk or Mispricing?

Li, Keming - 2015

Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …

Persistent link: https://www.econbiz.de/10013014736

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Environmentally oriented energy policy and stock returns: an empirical analysis

Oberndorfer, Ulrich; Ziegler, Andreas - 2006

This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for German energy corporations. By using event study methodology, we consider the last minute victory of the acting government in the 2002 German federal elections to the Lower...

Persistent link: https://www.econbiz.de/10010297850

Analysts' dividend forecasts, portfolio selection, and market risk premia

Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - 2007

The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit...

Persistent link: https://www.econbiz.de/10010307943

Determinants of spreads on sovereign bank loans: The role of credit history

Benczúr, Péter; Ilut, Cosmin - 2006

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...

Persistent link: https://www.econbiz.de/10010322423

Coordination of Expectations in Asset Pricing Experiments

Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; van de … - 2003

We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....

Persistent link: https://www.econbiz.de/10010324831

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