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Collateralisation bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014

, raising prices. More complex collateralised contracts, like CDOs, can increase prices further. In contrast, with disagreement …

Persistent link: https://www.econbiz.de/10011084220

Dynamic Trading and Asset Prices: Keynes vs. Hayek

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

term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …

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

Momentum Trading, Return Chasing, and Predictable Crashes

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

of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy ….5 percent per month between 1867 and 1907—both statistically significantly different from zero. However, the momentum strategy … also exposed investors to large losses (crashes) during both periods. Momentum crashes were predictable. Crashes were more …

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

Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...

Persistent link: https://www.econbiz.de/10005114153

A Theory of Asset Prices based on Heterogeneous Information

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

With only minimal restrictions on security payoffs and trader preferences, noisy aggregation of heterogeneous 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,...

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

Internal Rationality and Asset Prices

Adam, Klaus; Marcet, Albert - C.E.P.R. Discussion Papers - 2009

We present a decision theoretic framework with agents that are learning about the behavior of market determined variables. Agents are 'internally rational', i.e., maximize discounted expected utility under uncertainty given consistent beliefs about the future, but may not be 'externally...

Persistent link: https://www.econbiz.de/10008577809

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

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

Hope, Change, and Financial Markets: Can Obama's Words Drive the Market?

Sazedj, Sharmin; Tavares, José - C.E.P.R. Discussion Papers - 2011

Barack Obama’s victory in the 2009 presidential elections in the United States is widely credited to his personal charisma and his extraordinary rhetorical powers, as revealed throughout the campaign. President Obama was inaugurated in the midst of the worst economic crisis in the country,...

Persistent link: https://www.econbiz.de/10009399716

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk

Gürkaynak, Refet S.; Wolfers, Justin - C.E.P.R. Discussion Papers - 2006

uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the …

Persistent link: https://www.econbiz.de/10005656457