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The impact of a takeover bid on the capital market efficiency
Knezovic, Anita; Culjak, Maria - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 109-120
The impact of the announcement of a takeover bid has been widely tested in foreign literature. Therefore, the main goal … of this paper is to research the impact of the announcement of a takeover bid on the share price movements in the … takeover bid affects the share prices of the target company, which is consistent with the results of previous research …
Persistent link: https://www.econbiz.de/10012178422
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with publicly listed and private firms. In our setting, stock prices are...
Persistent link: https://www.econbiz.de/10013089186
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The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market
Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...
Persistent link: https://www.econbiz.de/10012887921
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Risk, Return, and Sentiment in a Virtual Asset Market
Montone, Maurizio; Zwinkels, Remco C. J. - 2021
The joint-hypothesis problem casts doubt on the results of market efficiency research. Specifically, it is hard to assess to what extent financial markets reflect economic fundamentals or mispricing. To address this issue, we study price formation in a large virtual asset market where...
Persistent link: https://www.econbiz.de/10013233921
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Financial Markets and News about the Coronavirus
Mamaysky, Harry - 2020
I examine how financial markets interact with news about the COVID-19 pandemic. A twelve topic model optimizes the trade-off between number of topics and topic coherence. Using this model, I show that before mid-March 2020 markets react more to the same quantum of news when volatility is higher...
Persistent link: https://www.econbiz.de/10012838169
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On Booms That Never Bust : Ambiguity in Experimental Asset Markets with Bubbles
Corgnet, Brice - 2018
We study the effect of ambiguity on the formation of bubbles and on the occurrence of crashes in experimental asset markets à la Smith, Suchanek, and Williams (1988). We extend their framework to an environment where the fundamental value of the asset is ambiguous. We show that, when the...
Persistent link: https://www.econbiz.de/10012909268
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An agent-based model of financial market efficiency dynamics
El Oubani, Ahmed; Lekhal, Mostafa - In: Borsa Istanbul Review 22 (2022) 4, pp. 699-710
We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...
Persistent link: https://www.econbiz.de/10013334820
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Volatility Spillovers Across NFTs News Attention and Financial Markets
Wang, Yizhi - 2022
The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public's attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories...
Persistent link: https://www.econbiz.de/10013404368
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Risk aversion and information aggregation in binary-asset markets
Filippin, Antonio; Mantovani, Marco - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 753-798
We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing...
Persistent link: https://www.econbiz.de/10014308597