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Minimum Price Variations, Time Priority and Quote Dynamics

Cordella, Tito; Foucault, Thierry - C.E.P.R. Discussion Papers - 1997

This paper analyses the impact of a minimum price variation (tick) and time priority on the quote dynamics and on trading costs when competition for the order flow is dynamic. It finds that convergence to competitive prices can take time and that the speed of convergence is influenced by the...

Persistent link: https://www.econbiz.de/10005504621

Preferential Trade Arrangements and the Pattern of Production and Trade when Inputs are Differentiated

Francois, Joseph - C.E.P.R. Discussion Papers - 2005

This paper is concerned with rules of origin when intermediate goods are differentiated. An analytical model emphasizes trade patterns and the relative importance of trade in intermediates given trade preferences. Econometric evidence based on intra-OECD trade in motor vehicles and motor vehicle...

Persistent link: https://www.econbiz.de/10005789150

Stock Markets and Business Cycle Comovement in Germany Before World War I: Evidence from Spectral Analysis

Ritschl, Albrecht; Uebele, Martin - C.E.P.R. Discussion Papers - 2005

This paper examines the comovement of the stock market and of real activity in Germany before World War I under the efficient market hypothesis. We employ multivariate spectral analysis to compare rivaling national product estimates to stock market behaviour in the frequency domain. Close...

Persistent link: https://www.econbiz.de/10005666693

Efficient Market Hypothesis and Forecasting

Granger, Clive; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2002

The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when testing the optimality of a forecast in the context of a given information set. However, there are also important differences arising from the fact that market efficiency tests rely on establishing...

Persistent link: https://www.econbiz.de/10005791371

Dynamic Trading and Asset Prices: Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - C.E.P.R. Discussion Papers - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10008477180

Psychological Barriers in the Foreign Exchange Market

De Grauwe, Paul; Decupere, Danny - C.E.P.R. Discussion Papers - 1992

This paper undertakes an empirical analysis of the existence of psychological barriers in the dollar/DM and the dollar/yen exchange markets. Psychological barriers occur when agents attach some special importance to the last trailing digits of the price of an asset or a currency. Our empirical...

Persistent link: https://www.econbiz.de/10005497745

Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …

Persistent link: https://www.econbiz.de/10011083650

The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes

Peress, Joël - C.E.P.R. Discussion Papers - 2013

The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday...

Persistent link: https://www.econbiz.de/10011084726

Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls

Druz, Marina; Wagner, Alexander F; Zeckhauser, Richard - C.E.P.R. Discussion Papers - 2015

Stock prices react significantly to the tone (negativity of words) managers use on earnings conference calls. This reaction reflects reasonably rational use of information. “Tone surprise” -- the residual when negativity in managerial tone is regressed on the firm’s recent economic...

Persistent link: https://www.econbiz.de/10011145406

Macroeconomic Sources of FOREX Risk

Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002

This Paper is an exploration into the links between macroeconomics and finance as they affect the FOREX risk premium …. SDF theory is used in which the factors are observable macroeconomic variables. Three SDF theories are compared: a … rate. The theory takes account of both domestic and foreign investors. The joint distribution of the excess return to FOREX …

Persistent link: https://www.econbiz.de/10005661706

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