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Underpricing of initial public offerings in experimental asset markets
Füllbrunn, Sascha; Neugebauer, Tibor; Nicklisch, Andreas - 2019
The underpricing of initial public offerings is a well-documented fact of empirical equity market research. Theories explain this underpricing with market imperfections. We study three empirically relevant IPO mechanisms under almost perfect market conditions in the laboratory: a stylized book...
Persistent link: https://www.econbiz.de/10012233231
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Event studies in merger analysis : review and an application using U.S. TNIC data
Klein, Timo - 2020 - Revision: March 2020
.S. mergers between 1997 and 2017. I document that following a merger announcement, the most likely competitors experience on …There is a growing concern that U.S. merger control may have been too lenient, but empirical evidence remains limited …. Event studies have been used as one method to acquire empirical insights into the competitive effects of mergers. However …
Persistent link: https://www.econbiz.de/10012161053
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Pricing and Liquidity in Decentralized Asset Markets
Uslu, Semih - 2019
I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich investor heterogeneity in three simultaneous dimensions: preferences, inventories, and meeting rates. By comparing trading-volume patterns that...
Persistent link: https://www.econbiz.de/10012902875
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Learning and Price Discovery in a Search Model
Lauermann, Stephan - 2018
We develop a dynamic matching and bargaining game with aggregate uncertainty about the relative scarcity of a commodity. We use our model to study price discovery in a decentralized exchange economy: Traders gradually learn about the state of the market through a sequence of multilateral...
Persistent link: https://www.econbiz.de/10012940513
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Inefficient Fire-Sales in Decentralized Asset Markets
Ebrahimy, Ehsan - 2019
buyers. In particular, I show that when trade is decentralized and participation isendogenous, constrained asset demand and …
Persistent link: https://www.econbiz.de/10012868464
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Emergence of Non-Speculative Demand for Bitcoin : Learning about Stochastic Correlations with Stock Markets
Yae, James; Tian, George Zhe - 2021
When a new asset keeps changing its narrative, investors find difficulty in classifying and understanding the new asset. Rational investors therefore face unprecedented uncertainty and learn about the joint dynamics to optimize their portfolio accordingly. Bitcoin's "digital gold" narrative, as...
Persistent link: https://www.econbiz.de/10013243835
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If you think 9-ending prices are low, think again
Snir, Avichai; Levy, Daniel C. - 2019
9-ending prices are a dominant feature of many retail settings, which according to the existing literature, is because consumers perceive them as being relatively low. Are 9-ending prices really lower than comparable non 9-ending prices? Surprisingly, the empirical evidence on this question is...
Persistent link: https://www.econbiz.de/10012021588
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Rationing and screening in crowdinvesting-markets
Mäschle, Oliver; Dalvai, Wilfried - 2016
disadvantaged investors and entrepreneurs from the market. We recommend a market design that allows for some excessive demand. Such …
Persistent link: https://www.econbiz.de/10011441481
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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Noise, Beliefs, and Momentum
Jordan, Steven J. - 2013
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438