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Front-running by Mutual Fund Managers: It ain't that Bad

Danthine, Jean-Pierre; Moresi, Serge X - C.E.P.R. Discussion Papers - 1996

This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized. Noise...

Persistent link: https://www.econbiz.de/10005123513

Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications

Hardouvelis, Gikas A; Tsiritakis, Emmanuel D - C.E.P.R. Discussion Papers - 1996

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia...

Persistent link: https://www.econbiz.de/10005124169

Individual Investors and Volatility

Foucault, Thierry; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2008

, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction …We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because … are also consistent with models in which individual investors, acting as noise traders, are a source of volatility. …

Persistent link: https://www.econbiz.de/10005114244

One Money, One Market: Estimating the Effect of Common Currencies on Trade

Rose, Andrew K - C.E.P.R. Discussion Papers - 1999

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

Persistent link: https://www.econbiz.de/10005666776

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10005504428

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

event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In …

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

Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the €/US$ Rate

Bofinger, Peter; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The study analyses the characteristics of professional exchange rate forecasts for the €/US$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according...

Persistent link: https://www.econbiz.de/10005666725

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009

strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …

Persistent link: https://www.econbiz.de/10008491718

The Crisis in the Foreign Exchange Market

Melvin, Michael; Taylor, Mark P - C.E.P.R. Discussion Papers - 2009

We provide an overview of the important events of the recent global financial crisis and their implications for exchange rates and market dynamics. Our goal is to catalogue all that was truly of major importance in this episode. We also construct a quantitative measure of crises that allows for...

Persistent link: https://www.econbiz.de/10008528525

The Returns to Currency Speculation in Emerging Markets

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2007

The carry trade strategy involves selling forward currencies that are at a forward premium and buying forward currencies that are at a forward discount. We compare the payoffs to the carry trade applied to two different portfolios. The first portfolio consists exclusively of developed country...

Persistent link: https://www.econbiz.de/10005504278