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Fundamental Characteristics of Russia’s Equity Market in 2018
Abramov, Alexander E. - 2019
In 2018, the Russian stock market held up its reputation as one of the most volatile markets in the world. In 2018, Russian companies' stocks turned out to be instruments with highest returns, outperforming 36 world's largest stock exchange markets, in contrast to 2017, when Russian stocks were...
Persistent link: https://www.econbiz.de/10012863503
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The impact of political risks on financial markets : evidence from a stock price crash perspective
Ma, Yanping; Wei, Qian; Gao, Xiang - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-16
Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays … a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore …, this paper probes the relationship between firm-level political risk and stock price crash risk based on a sample of …
Persistent link: https://www.econbiz.de/10014636314
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Bayesian learning in financial markets : testing for the relevance of information precision in price discovery
Hautsch, Nikolaus; Hess, Dieter - 2004
An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...
Persistent link: https://www.econbiz.de/10009524822
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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
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Price Drift before U.S. Macroeconomic News : Private Information about Public Announcements?
Kurov, Alexander - 2017
We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction...
Persistent link: https://www.econbiz.de/10012971320
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...
Persistent link: https://www.econbiz.de/10012992424
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Liquidity and Private Information in Asset Markets : To Signal or Not to Signal
Wang, Zijian - 2021
This paper examines how multidimensional private information by asset sellers affects market equilibrium. I find that when asset quality is the only source of private information, sellers with high-quality assets signal their quality to buyers through partial retention of assets if and only if...
Persistent link: https://www.econbiz.de/10013246450
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From Free Markets to Fed Markets : How Unconventional Monetary Policy Impacts Equity Markets
Putniņš, Tālis J. - 2020
In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...
Persistent link: https://www.econbiz.de/10012831878
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The effect of oil price: shocks on asset markets : evidence from oil inventory news
Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the …
Persistent link: https://www.econbiz.de/10012181225
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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