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Transition versus physical climate risk pricing in European financial markets: A text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …

Persistent link: https://www.econbiz.de/10013368007

Strategic uncertainty in financial markets: Evidence from a consensus pricing service

Ergun, Lerby M.; Uthemann, Andreas - 2020

This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices...

Persistent link: https://www.econbiz.de/10012619605

Peso-Dollar forward market analysis: Explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010392388

Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern

Holtemöller, Oliver - In: Wirtschaft im Wandel 22 (2016) 1, pp. 5-8

In der Politik und in den Medien wird darüber diskutiert, ob spekulativer Handel mit Agrarrohstoffen den Hunger in der Welt vermehrt. In diesem Aufsatz wird untersucht, in welchem Umfang sich Schwankungen von Agrarrohstoffpreisen auf nationale Verbraucherpreise für Lebensmittel in Indien als...

Persistent link: https://www.econbiz.de/10011502208

The random walk of high frequency trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …

Persistent link: https://www.econbiz.de/10011406341

Principal portfolios

Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Persistent link: https://www.econbiz.de/10012271188

Machine Learning and the Stock Market

Brogaard, Jonathan - 2020

Practitioners allocate substantial resources to technical analysis whereas academic theories of market efficiency rule out technical trading profitability. We study this long-standing puzzle by designing a machine learning algorithm to search for profitable technical trading rules while...

Persistent link: https://www.econbiz.de/10012851577

Firm Characteristics and Expected Stock Returns

Han, Yufeng - 2020

We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...

Persistent link: https://www.econbiz.de/10012852228

Objective Measures of Market Efficiency; Applications to Securities Class Actions and Valuations

Bhattacharya, Rajeev R. - 2020

For every U.S.-listed security for every year between 2001-2017, I run four different event studies to calculate four separate objective measures of the efficiency of the market for that security for that year, which provide an objective characterization of the market for that security in that...

Persistent link: https://www.econbiz.de/10012852615

Real-Time Forecasts of Auction Prices

Penasse, Julien - 2020

stock and bond markets and to art market sentiment. It takes about six months for art prices to incorporate information … the short-term. These findings suggest that art market participants react with a delay to information contained in stock … market returns, so that information diffuses only slowly into art prices …

Persistent link: https://www.econbiz.de/10012856506

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