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Commodity Pricing : Time-Varying Discount Rates vs. Investors’ Heterogeneity

Bredin, Donal; Potì, Valerio; Salvador, Enrique - 2023

On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...

Persistent link: https://www.econbiz.de/10014351164

Detecting informed trading activities in the options markets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

Persistent link: https://www.econbiz.de/10009314008

Detecting informed trading activities in the options markets : appendix on subprime financial crisis

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Persistent link: https://www.econbiz.de/10009314012

Survival in speculative markets

Dindo, Pietro - 2015

investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that …. Beliefs heterogeneity and speculation may persist in the long-run or, even when discount factors and intertemporal … elasticities of substitution are homogeneous, speculation may cause the agent with the most accurate beliefs to vanish. Failures …

Persistent link: https://www.econbiz.de/10011404589

Momentum and reversal in financial markets with persistent heterogeneity

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

Persistent link: https://www.econbiz.de/10011790528

Do proprietary traders provide liquidity?

Bergman, Nittai K.; Kadan, Ohad; Michaely, Roni; … - 2020

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders concentrate their trades in large and liquid...

Persistent link: https://www.econbiz.de/10012419705

Selection-Neglect in the NFT Bubble

Huang, Dong; Goetzmann, William N. - National Bureau of Economic Research - 2023

Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...

Persistent link: https://www.econbiz.de/10014322885

Stock price reactions to ESG News : the role of ESG ratings and disagreement

Serafeim, George; Yoon, Aaron - 2020 - This draft: October 2020

We investigate whether ESG ratings predict future ESG news and the associated market reactions. We find that the consensus rating predicts future news, but its predictive ability diminishes for firms with large disagreement between raters. Relation between news and market reaction is moderated...

Persistent link: https://www.econbiz.de/10012511894

Predictive power of information market prices

Putintseva, Maria - 2011

Prediction (or information) markets are markets where participants trade contracts whose payoff depends on unknown future events. Studying prediction markets allows to avoid many problems, which arise in some artificially designed behavioral experiments investigating collective decision making...

Persistent link: https://www.econbiz.de/10009295796

Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

Persistent link: https://www.econbiz.de/10011325814