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Information Acquisition Experience, Investor Sophistication, and IPO Price Pressure

Köchling, Gerrit; Posch, Peter N.; Schmidtke, Philipp - 2021

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

Persistent link: https://www.econbiz.de/10013236779

Can Governments Signal Commitment in Privatization Sales?

Viani, Bruno E. - 2008

The literature on staggered privatization sales suggests that governments can effectively signal commitment to not … expropriate the future rents of privatized firms. The privatization of telephone firms around the world provides an excellent … opportunity to test this theory. Using a sample of repeated privatization sales I test whether governments can effectively signal …

Persistent link: https://www.econbiz.de/10012724458

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...

Persistent link: https://www.econbiz.de/10009424773

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...

Persistent link: https://www.econbiz.de/10010496122

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

Modeling Macroeconomic Effects in Central Eastern Economies Stock Returns

Samitas, Aristeidis - 2011

This paper examines the long and short-run relationships between three Central European Economies stock returns (Poland, Hungary and Czech Republic) and their main western economic and trading partner, which is Germany. We obtain evidence of links between macroeconomic variables and stock...

Persistent link: https://www.econbiz.de/10013124292

On the Effect of Merger Waves on Long-Term Aggregate Stock Market Valuation

Saidiev, Ulugbek - 2012

In this study, we investigate the effect of merger waves on the long-term valuation of aggregate stock market. Our empirical test shows significant positive relationship between the intensity of past, with four years lag, aggregate merger activity and the valuation of aggregate stock market

Persistent link: https://www.econbiz.de/10013101602

Short-Term Momentum and Reversals in Large Stocks

Wei, Jason Zhanshun - 2012

Using stocks traded on the NYSE, AMEX and NASDAQ for the period of 1964 to 2009, this study demonstrates that, while momentum prevails among small stocks, momentum and reversals coexist among large stocks for a holding period of up to six months. The momentum/reversal divide is along the...

Persistent link: https://www.econbiz.de/10013108409

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