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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736
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Evolution and market behavior with endogenous investment rules
Bottazzi, Giulio; Dindo, Pietro - 2010
In a complete market for short-lived assets, we investigate long run wealth-driven selection on a general class of investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to asset mis-pricing and informational efficiencies, is a...
Persistent link: https://www.econbiz.de/10008729026
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Innovation, delegation, and asset price swings
Sato, Yuki - 2015
We propose a dynamic asset-market equilibrium model in which (1) an "innovative" asset with as-yet-unknown average payoff is traded, and (2) investors delegate investment to experts. Experts secretly renege on investors' orders and take on leveraged positions in the asset to manipulate...
Persistent link: https://www.econbiz.de/10011293484
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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 …
Persistent link: https://www.econbiz.de/10013119323
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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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Information diffusion, trading speed and their potential impact on price efficiency : literature review
Martins, Carlos Jorge Lenczewski - In: Borsa Istanbul Review 22 (2022) 1, pp. 122-132
on price efficiency and market quality. The aim of this paper is directly related to the analysis on how information … efficiency or market quality. The incorporation of information in submitted orders evidently affects prices, but it may also … affect market quality for different reasons e.g., the use of low-quality information, or the fact that slower traders may be …
Persistent link: https://www.econbiz.de/10012818083
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Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Chen, Richard - 2017
by exploiting edge effects, information aggregation of local estimates and high-frequency asymptotic approximation. The …
Persistent link: https://www.econbiz.de/10012970519
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Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard
Piatti, Ilaria - 2017
This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and...
Persistent link: https://www.econbiz.de/10012973305
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Disagreement, Habit and the Dynamic Relation Between Volume and Prices
Xiouros, Costas - 2016
provides a configuration by which prices are also fitted well. The paper additionally shows that the information structure and …
Persistent link: https://www.econbiz.de/10013008726