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Suijs, Jeroen - 2011

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Persistent link: https://www.econbiz.de/10013119323

Market Conditions Asymmetries and Asset Pricing : An Information Asymmetry Perspective of Volatility Modeling in Pakistan

Hamid, Kashif - 2017

Volatility modeling remained a fabulous concept in the field of financial economics and this concept is dynamic due to … time varying phenomenon. The purpose of this study is to identify the information asymmetry perspective of volatility … current price volatility and hence shows persistent behavior of the volatility in the market. TGARCH model reports that …

Persistent link: https://www.econbiz.de/10012963808

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

Parallel Running : Effects of Information Transmission by High Frequency Traders on Market Quality

Peivandi, Ahmad - 2018

We develop a two period model of trade where a common value asset is traded against a numeraire in two parallel markets. An insider who knows the final value of the asset exploits his private information in both markets. Some traders, called high frequency (HF) traders, observe the total orders...

Persistent link: https://www.econbiz.de/10012911585

Snowballing private information

Sadzik, Tomasz; Woolnough, Chris - In: Journal of economic theory 198 (2021), pp. 1-33

Persistent link: https://www.econbiz.de/10012818831

Stock crashes and jumps reactions to information demand and supply : an intraday analysis

Chu, Gang; Li, Xiao; Shen, Dehua; Zhang, Yongjie - In: Asia Pacific financial markets 28 (2021) 3, pp. 397-427

Persistent link: https://www.econbiz.de/10012599798

Gradualism in Monetary Policy : A Time-Consistency Problem?

Stein, Jeremy C.; Sunderam, Aditya - 2021

long-run target for the policy rate; and (ii) the central bank is averse to bond-market volatility. In this setting … when the central bank moves more gradually. The same desire to mitigate bond-market volatility can lead the central bank to …

Persistent link: https://www.econbiz.de/10013224344

Information shocks, disagreement, and drift

Armstrong, Will J.; Cardella, Laura; Sabah, Nasim - In: Journal of financial economics 140 (2021) 3, pp. 916-940

Persistent link: https://www.econbiz.de/10013259609

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Price dynamics of individual stocks : jumps and information

Xiao, Yuewen; Zhao, Jing - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485357