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Listening to the noise : on price efficiency with dynamic trading
Arnold, Lutz; Russ, David - 2024
This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of...
Persistent link: https://www.econbiz.de/10014559283
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...
Persistent link: https://www.econbiz.de/10003897551
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Liquidity, market efficiency and the influence of noise traders : quasi-experimental evidence from the betting industry
Flepp, Raphael; Nüesch, Stephan; Franck, Egon - 2013
This paper examines how liquidity affects market efficiency in a market environment where securities' true values are … source of exogenous variation in liquidity. The results show that liquidity significantly decreases market efficiency for … weekends than on weekdays, our results indicate that the type of liquidity matters for market efficiency …
Persistent link: https://www.econbiz.de/10010363066
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic
Fischer, Kai; Haucap, Justus - 2020
Betting markets have been frequently used as a natural laboratory to test the efficient market hypothesis and to obtain insights especially for financial markets. We add to this literature in analyzing the velocity and accuracy in which market expectations adapt to an exogenous shock: the...
Persistent link: https://www.econbiz.de/10012261187
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Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic
Fischer, Kai; Haucap, Justus - 2020
Betting markets have been frequently used as a natural laboratory to test the efficient market hypothesis and to obtain insights especially for financial markets. We add to this literature in analyzing the velocity and accuracy in which market expectations adapt to an exogenous shock: the...
Persistent link: https://www.econbiz.de/10012271737
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Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets
Oehler, Andreas; Heilmann, Klaus; Läger, Volker - University of Bamberg, Chair of Finance - 2001
This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …
Persistent link: https://www.econbiz.de/10009211011
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Liquidity provision and stock return predictability
Hendershott, Terrence; Seasholes, Mark S. - In: Journal of Banking & Finance 45 (2014) C, pp. 140-151
This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …
Persistent link: https://www.econbiz.de/10011065626
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Another look at trading costs and short-term reversal profits
de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...
Persistent link: https://www.econbiz.de/10010577945
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Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets
Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2001
This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …
Persistent link: https://www.econbiz.de/10010296586