changes in volatility (co-jumps) is a fundamental aspect of the price process contributing, among other effects, to skewness …-correlated, contemporaneous changes in volatility. Not only are the price jump sizes strongly negatively correlated with the volatility jump sizes …-monotonic pricing kernel, we illustrate the equilibrium impact of price and volatility co-jumps on both return and variance risk premia …

a large empirical literature from the 1950's and 60's, that it is necessary to distinguish the response of price to an … two models that can potentially explain these findings. Both break the link between price and marginal cost, thereby … second is driven by firms pricing to limit non-price competition within their market …

In this paper we analyze the statistical properties of three popular measures of price discovery used in empirical … or time periods if the price process follows a martingale. The R2 of unbiasedness regressions is consistent for all price … samples. We find that weighted price contribution (WPC) is an unbiased estimator for driftless martingales. We characterize …

We find that investment responds more sensitively to a firm's Tobin's q when its share price is more discrete. Low-price … increases price informativeness and investment-q sensitivity, particularly when firms face tighter tick-size constraints … information and when they have more resources to respond to price signals …

We establish the importance of relative minimum price increments for price discovery in the context of a single asset … true when particular relative price conditions hold for the bids and offers of each asset. We develop an empirical measure … of price discovery which is suited to asynchronous, high-frequency financial data and test the model predictions …

error correction model over two overlapping periods: 2010-2017 and 2010-2019. Price discovery is achieved through the … index, gold price, a Google search variable associated to Bitcoin, and a fear index proxied by the FED Financial Stress … efficient Bitcoin price. The S&P 500 index and Google searches have a positive effect whereas gold prices and the fear index …

This paper provides new evidence of sales sequence-real estate price relations in a setting in which consumption risk … monotonic declining price "afternoon effect" or rising price from increasing relative demand documented in auction settings do …-shaped and inverted U-shaped sales sequence-price relations for high-rise and mid-rise developments, respectively, when …

reference point (RP) theory.Originality/value: The authors construct a dynamic valuation framework to explain the misvaluation … hypothesis by linking M&As' misvaluation with RP theory. This paper provides direct evidence that the reference-dependence bias …