This discussion paper led to a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 36(8), pp. 1101-1120.<P> Recent studies suggest that the type of strategic environment or expectation feedback can have a large impact on whether the market can learn the rational fundamental price. We...</p></i>

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

With a sample of 354 U.S. large bank holding companies, this paper investigates the determination of financial distress in financial institutions. We find that: (1) the house price index is consistently significant and positively associated with the Distance-to-Default (DD) measure in the U.S....

Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to...

Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital markets. The knowledge about such calendar patterns could be exploited in building successful investment strategies. However, it was revealed that not all the calendar anomalies...

This paper investigates the presence of Gone Fishin’ Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

Asymmetric information is a relevant concept for studying and understanding financial markets. In this paper we discus the effect of asymmetric information on the borrower–lender relationship. The presence of asymmetric information in financial markets leads to adverse selection, moral hazard,...

Over the periods 1998-2002 and 2009-2011, the S&P-500 Index went from persistence to anti-persistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi self-similar segments of the Index...

Optimal execution of large orders is examined within the technical framework of High-Frequency Trading (HFT). A sample model is proposed, which extends an existing strategy through HFT means like time slicing with random splitting of the order volume and time shifting. As this strategy brings...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...