Similar Search Results

Insiders-Outsiders, Transparency and the Value of the Ticker

Cespa, Giovanni; Foucault, Thierry - C.E.P.R. Discussion Papers - 2008

Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are informative about the asset payoff, insiders get a strictly larger expected utility than outsiders. Yet, information acquisition by one investor exerts a negative...

Persistent link: https://www.econbiz.de/10005791285

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009

liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …

Persistent link: https://www.econbiz.de/10008474510

Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Persistent link: https://www.econbiz.de/10005498159

Collateralisation bubbles when investors disagree about risk

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

Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...

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

The Dog that Did Not Bark: Insider Trading and Crashes

Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007

This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric...

Persistent link: https://www.econbiz.de/10005666589

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

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 …

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

Information Sales and Insider Trading

Cespa, Giovanni - C.E.P.R. Discussion Papers - 2004

Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Similarly to a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against...

Persistent link: https://www.econbiz.de/10005067575

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

Expectations, Liquidity, and Short-term Trading

Cespa, Giovanni; Vives, Xavier - C.E.P.R. Discussion Papers - 2011

In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors exploit a private learning channel to infer the demand of liquidity traders from the...

Persistent link: https://www.econbiz.de/10008873331