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Asymmetric Learning from Prices and Post-Earnings Announcement Drift

Choi, Jaewon - 2018

asset's value upon observing the price, but only when the price clearly reveals that others obtained private information … that differs from their own private information. In particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …

Persistent link: https://www.econbiz.de/10012938215

Endogenous Investor Inattention and Price Underreaction to Information

Li, Jiacui - 2020

explain substantial price underreaction to public information in corporate bond and stock markets. The key evidence is that …

Persistent link: https://www.econbiz.de/10012853664

Global equilibrium expected returns

Litterman, Bob - In: Modern investment management : an equilibrium approach, (pp. 55-75). 2003

Persistent link: https://www.econbiz.de/10002112001

The macroeconomy and the yield curve : the search for a unified approach

Rotondi, Zeno - In: International finance and monetary policy, (pp. 187-208). 2006

Persistent link: https://www.econbiz.de/10003459497

The macroeconomy and the yield curve : a review of the literature with some new evidence

Rotondi, Zeno - In: Giornale degli economisti e annali di economia 65 (2006) 2, pp. 193-223

Persistent link: https://www.econbiz.de/10003452552

Are German stock and bond returns consistent with equilibrium asset pricing? : a calibration exercise using recursive non-expected utility

Meyer, Bernd - 1996

This paper reexamines the Equity Premium Puzzle for the German stock market with control for inflation and taxation. Two methods for relaxing the assumption of aggregate consumption being equal to aggregate dividends are compared: the leverage approach and the usage of a bivariate stochastic...

Persistent link: https://www.econbiz.de/10009681108