Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10012192165
Because theories in finance rely critically on what agents know, designing powerful tests of these theories requires measuring information transmission. In this review, I characterize the rapidly growing subfield directly analyzing information in financial markets. Its three hallmarks are the...
Persistent link: https://www.econbiz.de/10011094542
Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...
Persistent link: https://www.econbiz.de/10010950781
type="main" <title type="main">ABSTRACT</title> <p>We structurally estimate a model in which agents’ information processing biases can cause predictability in firms’ asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biases—overconfidence and...</p>
Persistent link: https://www.econbiz.de/10011032208
In response to the increasing impact of regulation, several governments have introduced economic analysis as a way of trying to improve regulatory policy. This paper provides a comprehensive assessment of government-supported economic analysis of regulation. We find that there is growing...
Persistent link: https://www.econbiz.de/10005562961
This article tests whether stock market investors appropriately distinguish between new and old information about firms. I define the staleness of a news story as its textual similarity to the previous ten stories about the same firm. I find that firms' stock returns respond less to stale news....
Persistent link: https://www.econbiz.de/10009148488
I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their...
Persistent link: https://www.econbiz.de/10008683400
Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC...
Persistent link: https://www.econbiz.de/10010721712
Persistent link: https://www.econbiz.de/10010722086
This chapter reviews and synthesizes a rapidly growing subfield that analyzes the relation between media and financial markets. Research in this area identifies novel data sources, such as newspaper articles, Internet search queries, and posts on social networks, and employs inventive empirical...
Persistent link: https://www.econbiz.de/10014025198