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Bundlers' dilemmas in financial markets with sampling investors

Bianchi, Milo; Jehiel, Philippe - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 2, pp. 545-582

We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing...

Persistent link: https://www.econbiz.de/10012308449

Misinformation about dividend payouts influences transaction prices in experimental asset markets

Polak, Mateusz; Polczyk, Romuald - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 4, pp. 44-54

Correct information about the expected dividends and their probabilities is also available. METHOD: In two experiments, totaling34 Smith-Suchanek-Williams type double-auction continuous experimental markets (238 subjects), participants were exposed to misinformation regarding dividend payouts in...

Persistent link: https://www.econbiz.de/10012182740

Salience and the Disposition Effect : Evidence from the Introduction of 'Cash-Outs' in Betting Markets

Brown, Alasdair - 2016

The disposition effect describes the tendency of investors to sell assets that have increased in value since purchase, and hold those that have not. We analyse the introduction of betting market `Cash-Outs', which provide a continual update - and therefore increase the salience - of bettors'...

Persistent link: https://www.econbiz.de/10013003375

Time-Varying Demand for Lottery : Speculation Ahead of Earnings Announcements

Liu, Bibo - 2020

ownership, and in regions with a stronger gambling propensity, and it is also robust after controlling for past 12-month returns …

Persistent link: https://www.econbiz.de/10012854879

The Role of Anchoring on Investors' Gambling Preference : Evidence from China

Wang, Zhuo; Wang, Ziyue; Wu, Ke - 2022

This paper examines the anchoring effect of 52-week high price on the investors’ gambling preference in the Chinese A …-share market. We document the gambling preference only exists among stocks valued much lower than their 52-week high prices …, high arbitrage risk and investor sentiment strengthen the effect of anchoring on gambling preference. Our findings are …

Persistent link: https://www.econbiz.de/10013403503

Tracking Investor Gambling Intensity

Zhu, Hongbing; yang, lihua - 2023

We provide a simple method to track firm-specific investor gambling intensity based on the publicly available … decision of an investor with gambling preference. We document that investor gambling intensity is strongly persistent and … gambling intensity underperform stocks with low aggregate gambling intensity by approximately 117 basis points over the …

Persistent link: https://www.econbiz.de/10014255158

Industry Characteristics and Financial Risk Contagion

Wang, Chih-Wei - 2014

This paper proposes a new measure of tail risk spillover, namely the conditional coexceedance which is the number of joint occurrences of extreme negative returns in an industry conditional on an extreme negative return in the financial sector. The empirical application provides evidence of...

Persistent link: https://www.econbiz.de/10013064491

Endogenous Political Institutions and Financial Development

Lambert, Thomas - 2017

This chapter surveys the literature on the political economy of finance. This field offers three main insights. First, it highlights the importance of the role of political institutions in financial development. Second, it shows how the distribution of political power in society drives the...

Persistent link: https://www.econbiz.de/10012950721

Financial market discipline on bank risk : implications of state ownership

Kazdal, Abdullah; Kılıç, Yavuz; Yılmaz, Muhammed Hasan - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-15

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate...

Persistent link: https://www.econbiz.de/10014574457

Asset Pricing with Unknown Consumption and Financial Risk

Gvozdeva, Evgenia - 2011

Do parameter uncertainties regarding different risk factors have symmetric effects on asset prices? In a general equilibrium setting where uncertainties regarding consumption and portfolio returns are of concern to investors but all the structural parameters of consumption and dividend growth...

Persistent link: https://www.econbiz.de/10013128507