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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …
Persistent link: https://www.econbiz.de/10009787494
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Reuters sentiment and stock returns
Uhl, Matthias W. - 2011
We examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find significant correlations between Reuters sentiment and stock returns. We...
Persistent link: https://www.econbiz.de/10009303761
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Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - 2011 - This version: April 2011
we modify the model to account for time-varying transaction costs. We find that a) the futures market leads in the …
Persistent link: https://www.econbiz.de/10009705494
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and … these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …
Persistent link: https://www.econbiz.de/10014043638
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012
Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...
Persistent link: https://www.econbiz.de/10009554748
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Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]
Becke, Susanne von der; Sornette, Didier - 2011
Persistent link: https://www.econbiz.de/10009561750
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Price and Size Discovery in Financial Markets : Evidence from the U.S. Treasury Securities Market
Fleming, Michael J. - 2018
We study the workup protocol, an important size discovery mechanism in the U.S. Treasury securities market. We find that shocks in workup order flow explain 6-8 percent of the variation of returns on benchmark notes and, across maturities, contribute 10 percent to the variation of the yield...
Persistent link: https://www.econbiz.de/10012938397
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Contagion Effects of the U.S. Subprime Crisis on International Stock Markets
Hwang, Inchang - 2010
This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...
Persistent link: https://www.econbiz.de/10013149007
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael J.; Nguyen, Giang H. - 2013
This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...
Persistent link: https://www.econbiz.de/10009781862