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The High Volume Return Premium and Changes in Investor Recognition
Gordon, Narelle - 2020
stock selection or a private information advantage among institutional investors …
Persistent link: https://www.econbiz.de/10012856975
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The High Volume Return Premium and Changes in Investor Recognition
Gordon, Narelle - 2014
information advantage among institutional investors …
Persistent link: https://www.econbiz.de/10013058760
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Equity Trading Activity and Treasury Bond Risk Premia
Schraeder, Stefanie; Sojli, Elvira; Subrahmanyam, Avanidhar - 2021
We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume...
Persistent link: https://www.econbiz.de/10013216339
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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
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - 2008
Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...
Persistent link: https://www.econbiz.de/10011604905
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...
Persistent link: https://www.econbiz.de/10011605102
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Momentum trading, return chasing, and predictable crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...
Persistent link: https://www.econbiz.de/10011460679
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Liquidity measures, liquidity drivers and expected returns on an early call auction market
Burhop, Carsten; Gelman, Sergey - 2011
We analyze the determinants of illiquidity and its impact on asset pricing for purely call-auction traded stocks on Berlin Stock Exchange using 22 years of daily data (1892-1913). We use the Lesmond et al. (1999) measure of transaction costs to proxy illiquidity. We show that transaction costs...
Persistent link: https://www.econbiz.de/10010286700
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - European Central Bank - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...
Persistent link: https://www.econbiz.de/10005866585
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Analysts’ Dividend Forecasts, Portfolio Selection, and Market Risk Premia
Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - Institut für Finanzwirtschaft <Braunschweig> - 2007
The most relevant practical impediment to an application of the Markowitz portfolio selectionapproach is the problem of estimating return moments, in particular return expectations. We analyzethe consequences of using return estimates implied by analysts’ dividend forecasts under the...
Persistent link: https://www.econbiz.de/10005869517