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Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar.

Huberman, G.; Regev, T. - Graduate School of Business, Columbia University - 1999

closed above 30 in the two weeks following the Times article. The market's enthusiasm lifted the prices of other … enthusiastic public attention can induce a permanent rise in share prices, even when no genuinely new information is presented. The …

Persistent link: https://www.econbiz.de/10005478459

Sixteenths: Direct Evidence on Institutional Execution Costs.

Jones, C.M.; Lipson, M.L. - Graduate School of Business, Columbia University - 1999

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

Persistent link: https://www.econbiz.de/10005478465

WHAT DO WE KNOW ABOUT STOCK MARKET EFFICIENCY?

BALL, R. - William E. Simon Graduate School of Business … - 1989

Persistent link: https://www.econbiz.de/10005478507

Pareto Improving Price Regulation when the Asset Market is Incomplete.

Herings, J.-J.; Polemarchakis, H. - Center for Operations Research and Econometrics (CORE), … - 1998

allocation. Prices in competitive markets may fail to attain equilibrium. The theory of general competitive equilibrium does not … account for the adjustment of prices; empirical evidence indicates persistent deviations from market clearing. Fix …-price equilibria, following Benassy (1975) and Dreze (1975), characterize the allocation of resources at arbitrary prices. The …

Persistent link: https://www.econbiz.de/10005478944

United States; 2009 Article IV Consultation: Staff Report; Staff Supplement; and Public Information Notice on the Executive Board Discussion

International Monetary Fund (IMF); International … - 2009

This 2009 Article IV Consultation highlights that the U.S. economy has experienced the worst financial crisis since the Great Depression. In the second half of 2008, financial pressures intensified and came to a head with the failure of Lehman Brothers in September. Executive Directors have...

Persistent link: https://www.econbiz.de/10011244122

Minimax Measures of Risk : Properties and Applications.

Bernis, G. - Centre de recherche de mathématiques et économie … - 2000

This paper adapts the methods of Minimax-Hedging developped in Bernis & Giraud [2000] to other models of financial markets, including discontinuous semi-martingale. The measure of the risk is defined as the value of a zero-sum game between the investor and a fictitious player, representing the...

Persistent link: https://www.econbiz.de/10005663603

Price Impacts and Quote Adjustment on the Nasdaq and NYSE/AMEX.

Jones, C.M.; Lipson, M.L. - Graduate School of Business, Columbia University - 1999

listed on Nasdaq, quoted prices adjust quite slowly to the information contained in order flow. On average, it takes about 5 …

Persistent link: https://www.econbiz.de/10005663850

The Stability of Real Interest Rates in Australia: 1975-1997.

Felmingham, B.; Mansfield, P. - School of Economics and Finance, Tasmanian School of … - 1999

This paper investigates the stability of Australian ex ante real interest rates for a range of maturities. Both ex ante real and nominal interest rate series are found to be nonstationary even after following for the possibility of structural breaks using techniques developped by Zivot and...

Persistent link: https://www.econbiz.de/10005663900

The Price Effect of Australian Option Introduction.

Sadgehi, M. - School of Business, University of Western Sydney - 1992

Persistent link: https://www.econbiz.de/10005663998

INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING.

LEACH, J.C.; MADHAVAN, A.N. - Weiss Center for International Financial Research, … - 1990

Persistent link: https://www.econbiz.de/10005664258