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Hwang, Soosung; Salmon, Mark - C.E.P.R. Discussion Papers - 2004

We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the … factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular … sectors or styles in the market including the market index itself and critically we can also separate such herding from common …

Persistent link: https://www.econbiz.de/10005656282

Learning From Stock Prices and Economic Growth

Peress, Joël - C.E.P.R. Discussion Papers - 2011

A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock market allows investors to share their costly private...

Persistent link: https://www.econbiz.de/10009293661

Can the Fed talk the hind legs off the stock market?

Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2011

Deliberately or not, by providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks influence financial markets' expectations of its future policy. In bad times, monetary policy communication inducing an upward revision of the...

Persistent link: https://www.econbiz.de/10009147402

Insider Trading, Investment and Liquidity

Bhattacharya, Sudipto; Nicodano, Giovanna - C.E.P.R. Discussion Papers - 1999

We compare competitive equilibrium outcomes with and without trading by a privately informed 'monopolistic' insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate uncertainty regarding other agents' intertemporal consumption preferences. The...

Persistent link: https://www.econbiz.de/10005504224

Privatization and Stock Market Liquidity

Bortolotti, Bernardo; de Jong, Frank; Nicodano, Giovanna; … - C.E.P.R. Discussion Papers - 2004

Using panel data of 19 developed economies in the period 1985-2000, we show that share issue privatization (SIP) strongly affects a fundamental aspect of financial development: market liquidity. First, we identify the channels through which a sustained SIP program boosts the liquidity of the...

Persistent link: https://www.econbiz.de/10005504346

Institutional Trade Persistence and Long-Term Equity Returns

Dasgupta, Amil; Prat, Andrea; Verardo, Michela - C.E.P.R. Discussion Papers - 2007

How does the trading behaviour of institutional money managers affect stock prices? In this paper we document a robust relationship between the net trade patterns of institutional money managers and long term equity returns. Examining quarterly data on US institutional holdings from 1983 to...

Persistent link: https://www.econbiz.de/10005504453

Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency

Meenagh, David; Minford, Patrick; Peel, David - C.E.P.R. Discussion Papers - 2006

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

Persistent link: https://www.econbiz.de/10005504613

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies

Rockinger, Michael; Urga, Giovanni - C.E.P.R. Discussion Papers - 2000

This paper introduces a model, based on the Kalman filter framework, which allows for time varying parameters, latent factors, and a general GARCH structure for the residuals. With this extension of the Bekaert and Harvey (1997) model it is possible to test if an emerging stock market becomes...

Persistent link: https://www.econbiz.de/10005504665

Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges

Zalewska, Ania - C.E.P.R. Discussion Papers - 1999

This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...

Persistent link: https://www.econbiz.de/10005497754

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transaction data between 1985-95.We extend preliminary analysis conducted by Fischer and Zurlinden (1999) by matching these data with intra-day indicative exchange...

Persistent link: https://www.econbiz.de/10005497953