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More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends
Gormley, Todd A. - 2020
-time position adjustments suggests this quarterly pattern might reduce price informativeness. Consistent with this possibility, we … find that quarter-ends are associated with greater subsequent return reversals and lower price efficiency. Additional tests … support a link between disclosure-driven trades and lower price efficiency …
Persistent link: https://www.econbiz.de/10012853490
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Endogenous inattention and risk-specific price underreaction in corporate bonds
Li, Jiacui - In: Journal of financial economics 145 (2022) 2,2, pp. 595-615
Persistent link: https://www.econbiz.de/10013474426
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Portfolio choice in a monetary open-economy DSGE model
Engel, Charles; Matsumoto, Akito - 2006
Persistent link: https://www.econbiz.de/10003326089
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Monetary policy and portfolio choice in an open economy macro model
Devereux, Michael B.; Sutherland, Alan - In: Journal of the European Economic Association 5 (2007) 2/3, pp. 491-499
Persistent link: https://www.econbiz.de/10003483679
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Equity home bias, incomplete financial markets, and nominal rigidities
Pang, Ke - In: The Canadian journal of economics 44 (2011) 1, pp. 340-363
Persistent link: https://www.econbiz.de/10009010482
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Portfolio Choice in a Monetary Open-Economy DSGE Model
Engel, Charles M. - 2010
prices, labor income and the profits of the domestic firms are positively correlated. Even a small amount of nominal price …
Persistent link: https://www.econbiz.de/10012761579
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Portfolio Choice in a Monetary Open-Economy DSGE Model
Engel, Charles - 2006
prices, labor income and the profits of the domestic firms are positively correlated. Even a small amount of nominal price …
Persistent link: https://www.econbiz.de/10012466454
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Portfolio Choice in a Monetary Open-Economy DSGE Model
Matsumoto, Akito - 2005
This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some goods prices are set without full information of the state. Home and foreign...
Persistent link: https://www.econbiz.de/10014401498
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Linear and non-linear price decentralization
Aliprantis, Charalambos D.; Florenzano, Monique; … - In: Journal of economic theory 121 (2005) 1, pp. 51-74
Persistent link: https://www.econbiz.de/10002707368