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Vassalou, Maria - C.E.P.R. Discussion Papers - 2001

A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the … Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP …

Persistent link: https://www.econbiz.de/10005667103

Asset Management Contracts and Equilibrium Prices

Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014

We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and...

Persistent link: https://www.econbiz.de/10011084367

Providing financial education: a general equilibrium approach

Padula, Mario; Pettinicchi, Yuri - C.E.P.R. Discussion Papers - 2013

Since the early 2000s, the importance of financial literacy for safe financial behaviors has increased in public debate and has been the motivation for several national and international institutions to launch and promote financial education initiatives. Although discussion on the effects of...

Persistent link: https://www.econbiz.de/10011084571

The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World

Farmer, Roger E A; Nourry, Carine; Venditti, Alain - C.E.P.R. Discussion Papers - 2013

Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic discount factor in real world data. Our work provides such an explanation. We do not rely on frictions, market incompleteness or transactions costs of any kind. Instead, we modify a...

Persistent link: https://www.econbiz.de/10011084682

The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market

Goldreich, David; Hanke, Bernd; Nath, Purnendu - C.E.P.R. Discussion Papers - 2003

This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...

Persistent link: https://www.econbiz.de/10005666511

Insider Trading in Credit Derivatives

Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005

paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we … asymmetric, consisting exclusively of bad news. We find no evidence, however, that the degree of insider activity adversely …

Persistent link: https://www.econbiz.de/10005666591

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10005791707

Monetary Policy Uncertainty and the Stock Market

Locarno, Alberto; Massa, Massimo - C.E.P.R. Discussion Papers - 2005

We study the relationship between inflation and stock returns focusing on the signalling content of inflation. Investors use inflation to learn about the stance of the monetary policy. Depending on investors’ beliefs, a change in consumption prices has different effects on the risk premium. A...

Persistent link: https://www.econbiz.de/10005114321

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock … model, we find that U.S. macroeconomic news and Portuguese earnings news do not affect the cross-country stock market … correlation, whereas Portuguese macroeconomic news lowers the cross-country stock market correlation. Second, we find that U …

Persistent link: https://www.econbiz.de/10005666949

Strategic Trading And Learning About Liquidity

Hong, Harrison G; Rady, Sven - C.E.P.R. Discussion Papers - 2000

find the following. (1) Prices that deviate markedly from the forecast of terminal asset value based on public news tend to …

Persistent link: https://www.econbiz.de/10005666969