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This study examines how aggregation in financial reporting leads to information loss using a sample of firms that report individual financial assets. The level of information loss increases with the level of aggregation; however, combining assets with similar risk-factor exposures mitigates this...
Persistent link: https://www.econbiz.de/10014350860
We analyze whether the timing of public information releases affects risk-sharing and pricing in a pure exchange economy. Information releases do not matter if agents have time additive preferences, homogeneous beliefs and access to complete markets. In the case of heterogeneity in agents'...
Persistent link: https://www.econbiz.de/10013006752
This study experimentally analyses traders' choices, with and without asymmetric information, based on the riding-bubble model. While asymmetric information has been necessary to explain a bubble in past theoretical models, our experiments show that traders have an incentive to hold a bubble...
Persistent link: https://www.econbiz.de/10012965451
An event study is used to assess the views of Keynes and Friedman on speculation. Speculative extremes are ranked by intensity of sentiment and weight of speculative activity. A unique dataset of risk-reversal skew on option prices is used to measure the intensity of speculative sentiment; the...
Persistent link: https://www.econbiz.de/10013019272
market. This model highlights the importance that information theory's communication constraints have on the level of price … volatility surface. This type of analysis helps to reconcile traditional financial theory such as the Black-Scholes model with …
Persistent link: https://www.econbiz.de/10013028210
The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship – whether it reflects private information, liquidity, or trend-chasing behavior. This paper studies the relationship...
Persistent link: https://www.econbiz.de/10013132322
I use a new measure of investor attention and measure its affect on the returns of winner and loser portfolios over a holding period of up to 52 weeks. Whilst I do not find any relationship between Stock Information Demand and price momentum, I do find that increases in investor attention affect...
Persistent link: https://www.econbiz.de/10013141837
The purpose of this paper is to investigate the micro foundations of how non-experts' (or general public) form inflation expectations. Using a unique dataset we investigate the range of near rational inflation expectations. An important contribution to understanding how non-experts form their...
Persistent link: https://www.econbiz.de/10013098048
The aim of this study is to assess the extent to which the degree of heterogeneity of inflation expectations is driven by the flow of information related to current and future price developments. To that end, we follow three routes: i) We propose different measures of information flow that have...
Persistent link: https://www.econbiz.de/10013100575
others, the problem can be analyzed as a typical global game and would present a threshold equilibrium. If not, in theory …
Persistent link: https://www.econbiz.de/10013063221