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First to “Read” the News: News Analytics and Institutional Trading

Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...

Persistent link: https://www.econbiz.de/10011252620

Investor Interest and Hedge Fund Returns

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

information in investor demand co-exists with the presence of capacity constraints in hedge fund returns, confirming two main …

Persistent link: https://www.econbiz.de/10008692307

How Prediction Markets Can Save Event Studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...

Persistent link: https://www.econbiz.de/10009003379

Sources of Risk in Currency Returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four …

Persistent link: https://www.econbiz.de/10011083487

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634

Are Retail Traders Compensated for Providing Liquidity?

Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...

Persistent link: https://www.econbiz.de/10011096103

A Theory of Asset Prices based on Heterogeneous Information

Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - C.E.P.R. Discussion Papers - 2013

information drives a systematic wedge between the impact of fundamentals on the price of a security, and the corresponding impact … on cash flow expectations. From an ex ante perspective, this information aggregation wedge leads to a systematic gap … asymmetry between upside and downside payoff risks and on the importance of information heterogeneity. We consider three …

Persistent link: https://www.econbiz.de/10011083236

Man or machine? Rational trading without information about fundamentals

Rossi, Stefano; Tinn, Katrin - C.E.P.R. Discussion Papers - 2014

parameters. When informed, he will trade on that information and disregard the algorithm. One implication is that future order …

Persistent link: https://www.econbiz.de/10011083393

Momentum Trading, Return Chasing, and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - C.E.P.R. Discussion Papers - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine over 140 years of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy has earned abnormally high risk-adjusted returns—a...

Persistent link: https://www.econbiz.de/10011083413

Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition

Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012

The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...

Persistent link: https://www.econbiz.de/10011083426