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Inside information and public news : R-squared and beyond
Brown, William O. - 1999
This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.
Persistent link: https://www.econbiz.de/10011566279
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Inside Information and Public News: R-Squared and Beyond
Brown Jr., William O. - 1999
This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.
Persistent link: https://www.econbiz.de/10010334577
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The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates
Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999
This paper analyzes the impact of news on several Italian financial variables, paying particular attention to the … turbulence in Italy, including the rapid succession of three governments. News releases (articles on political and economic … analysis is divided into two phases: first, we estimate the impact of each single political and economic news item on asset …
Persistent link: https://www.econbiz.de/10005770784
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Redistribution of return inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012499593
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Redistribution of Return Inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012582059
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The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10011952636
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The impact of heterogeneous signals on stock price predictability in a strategic trade model
Winter, Christoph - 2018
Generalizing the idea that price momentum can be explained by different levels of uncertainty inherent in the information structure, we implement signal-specific differences in uncertainty in a Kyle type model of strategic trading. We derive the equilibrium in a single-auction setting as well as...
Persistent link: https://www.econbiz.de/10011952637
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Information shocks and the cross section of expected returns
Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769
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Financial contagion and attention allocation
Mondria, Jordi; Domeque, Climent Quintana - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2012
-anticipation of a crisis is crucial for the existence of contagion. Using data from the East Asian crisis and the number of news … stories about Thailand in the Financial Times relative to news stories about Argentina, Brazil and Chile as a proxy for the …
Persistent link: https://www.econbiz.de/10009652491
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News Related to Future GDP Growth as a Risk Factor in Equity Returns
Vassalou, Maria - C.E.P.R. Discussion Papers - 2001
A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the … Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP …
Persistent link: https://www.econbiz.de/10005667103