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Front-running by Mutual Fund Managers: It ain't that Bad

Danthine, Jean-Pierre; Moresi, Serge X - C.E.P.R. Discussion Papers - 1996

This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized. Noise...

Persistent link: https://www.econbiz.de/10005123513

Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications

Hardouvelis, Gikas A; Tsiritakis, Emmanuel D - C.E.P.R. Discussion Papers - 1996

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia...

Persistent link: https://www.econbiz.de/10005124169

Individual Investors and Volatility

Foucault, Thierry; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2008

We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders. To this end, we consider a reform that makes short selling or buying on margin more expensive for retail investors relative to institutions, for a...

Persistent link: https://www.econbiz.de/10005114244

Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories

Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013

crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …

Persistent link: https://www.econbiz.de/10011083911

Speculation in the Oil Market

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …

Persistent link: https://www.econbiz.de/10011084143

The Role of Speculation in Oil Markets: What Have We Learned So Far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012

was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …

Persistent link: https://www.econbiz.de/10011084244

Speculation, Risk Premia and Expectations in the Yield Curve

Barillas, Francisco; Nimark, Kristoffer P - C.E.P.R. Discussion Papers - 2013

An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way...

Persistent link: https://www.econbiz.de/10011084555

The Advantage to Hiding One's Hand: Speculation and Central Bank Intervention in the Foreign Exchange Market

Bhattacharya, Utpal; Weller, Paul - C.E.P.R. Discussion Papers - 1992

Using a portfolio balance model of exchange rate determination, this paper develops a theoretical explanation of why central banks do not make precise announcements of their exchange rate targets. In foreign exchange markets, where it is common knowledge that the central bank intervenes to...

Persistent link: https://www.econbiz.de/10005661690

Commodity Prices, Financial Markets and World Income: A Structural Rational Expectations Model

Ramanujam, Prathap; Vines, David - C.E.P.R. Discussion Papers - 1989

In this we specify and jointly estimate supply, demand and price equations for four aggregate commodity groups: food, beverages, agricultural raw materials and metals. This simple structural model allows us, for each group of commodities, to incorporate stock data for the first time, and to...

Persistent link: https://www.econbiz.de/10005667071

Regulating Insider Trading when Investment Matters

Medrano, Luis Angel; Vives, Xavier - C.E.P.R. Discussion Papers - 2002

We analyse the effects of insider trading on real investment and welfare, and the consequences of different regulatory policies: a disclose-or-abstain rule, ‘fair’ disclosure, laissez-faire and forbidding insider trades based on ‘precise’ information. We perform the analysis in a model...

Persistent link: https://www.econbiz.de/10005791877