Similar Search Results

Option-implied preferences adjustments, density forecasts, and the equity risk premium

Alonso Sánchez, Francisco; Blanco Escolar, Roberto; … - 2006

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...

Persistent link: https://www.econbiz.de/10012530142

Does Past Volatility Affect Investors' Price Forecasts and Confidence Judgements?

Du, Ning; Budescu, David V - 2007

This study investigates the influence of past volatility on individual investors' forecasting behavior. We conducted two experiments in which we used real stock prices to construct low- and high-volatility time series, and asked participants to make both point estimates and interval forecasts of...

Persistent link: https://www.econbiz.de/10009440694

Experimental Studies of Overconfidence in Financial Markets

Julija Michailova - 2010

This doctoral thesis investigates the influence of overconfidence on the outcomes in experimental asset markets, both … that is later used in economic experiments to measure subjects’ overconfidence. The second part investigates the role of … market overconfidence in the occurrence of bubbles in asset prices and the emergence of other stylized facts of financial …

Persistent link: https://www.econbiz.de/10009428972

Stock Market Pressure on Inventory Investment and Sales Reporting for Publicly Traded Firms

Lai, Guoming; Debo, Laurens; Nan, Lin - 2008

Operations of publicly traded firms differ from privately owned firms because public firms' managers make decisions based on their own interests. In this paper, we study how stock market pressure may influence a manager's inventory and operational management. Our model is a straightforward...

Persistent link: https://www.econbiz.de/10009441139

The Bombay stock exchange: seasonalities and investment opportunities

Ignatius, Roger - 1992

This paper examines the relationship of stock return patterns on the Bombay Stock Exchange (BSE) with those of the New York Stock Exchange (NYSE). It also examines investment opportunities for international investors. The data include daily closing values of the BSE and SSP 500 Indexes for the...

Persistent link: https://www.econbiz.de/10009441629

Intra-industry reactions of stock split announcements;

Tawatnuntachai, Oranee; D'Mello, Ranjan - 1999

This paper examines whether favorable information conveyed by stock split announcements transfers to non-splitting firms within the same industry. We find that there exists intra-industry reaction; shareholders of non-splitting firms experience significant positive abnormal returns during the...

Persistent link: https://www.econbiz.de/10009468579

Stock Markets and Household Wealth: Can a Stock Market Crash Cause a Recession in The U.S. Economy?

Singh, Ishan - 2008

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze...

Persistent link: https://www.econbiz.de/10009474964

What insight do market participants gain from dividend increases?

Ellis, R. Barry - 2000

This study examines the reactions of market makers and investors to large dividend increases to identify the motives for dividend increases. Uniquely, this study simultaneously tests the signaling and agency abatement motivations as explanations of the impact of dividend increases on stock...

Persistent link: https://www.econbiz.de/10009475061

Intra-industry reactions of stock split announcements;

Tawatnuntachai, Oranee; D'Mello, Ranjan - 1999

Persistent link: https://www.econbiz.de/10009451075

Zero-non-zero Patterned Vector Error Correction Modelling for I(2) Cointegrated Time-Series with Applications in Testing PPP and Stock Market Relationships

Penm, Jack H.W; Brailsford, Tim; Terrell, R.D - 2000

Vector error-correction models (VECMs) have become increasingly popular in their applications to financial markets. Standard VECM models assume that the cointegrating vectors are of full rank such that they contain no zero elements. However, applications of VECM models to financial market data...

Persistent link: https://www.econbiz.de/10009451311