We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...

This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...

We present a rational theory of return behavior around seasoned equity offerings, including a pre-issuance price runup, negative announcement effect, and long-run post-issuance underperformance. The main result uses real option principles to relate SEO's to an endogenous decrease in expected...

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is tested under 3 market regimes. The results don't show...

The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383–417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the...

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...

We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...