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A Theory of Asset Prices Based on Heterogeneous Information

Albagli, Elias - 2012

We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...

Persistent link: https://www.econbiz.de/10013109130

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

A Theory of Asset Prices Based on Heterogeneous Information

Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - 2011

Persistent link: https://www.econbiz.de/10014176375

The Equity Premium With Undiversified Investors and Financial Frictions

Elenev, Vadim; Landvoigt, Tim - 2022

higher risk free rates, lower risk premiums on both fully diversified and concentrated assets, and lower output, consumption …, and investment. Household wealth would be 9% lower, yet welfare would be 3.1% higher due to lower risk. Time …-varying exposure to undiversified firm risk that loads on rare disasters can explain approximately 25% of the level and 20% of the …

Persistent link: https://www.econbiz.de/10014236608

Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity

Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023

Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to...

Persistent link: https://www.econbiz.de/10014350917

Financial Leverage and Stock Return Comovement

Do, Hung Xuan - 2020

We find that leverage-initiating stocks experience an increase in return comovement with existing leveraged stocks and a decrease in return comovement with existing zero-leverage stocks in the year after the leverage initiation event. In contrast, stocks that fully deleverage comove more with...

Persistent link: https://www.econbiz.de/10012823809

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Persistent link: https://www.econbiz.de/10013026463