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

We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because …, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction … 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

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

A Model of Credit Risk, Optimal Policies and Asset Prices

Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002

and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …

Persistent link: https://www.econbiz.de/10005788927

The European Business Cycle

Artis, Michael J; Krolzig, Hans-Martin; Toro, Juan - C.E.P.R. Discussion Papers - 1999

This paper deals with the existence and identification of a common European Growth Cycle. It has recently been argued that the formation of a monetary union creates in itself a tendency for business cycle symmetry to emerge. If this holds for the European monetary Union and the quasi-union of...

Persistent link: https://www.econbiz.de/10005114243

Commercial Policy Variability, Bindings and Market Access

Francois, Joseph; Martin, Will - C.E.P.R. Discussion Papers - 2002

Protection unconstrained by rules often varies substantially over time. Rules-based disciplines, such as WTO tariff bindings and bindings on market access in services, constrain this variability. We examine the theoretical effects of such constraints on the expected cost of protection and offer...

Persistent link: https://www.econbiz.de/10005661815

Structural Estimation of Gravity Models with Path-dependent Market Entry

Egger, Peter; Pfaffermayr, Michael - C.E.P.R. Discussion Papers - 2011

This paper develops a structural empirical general equilibrium model of aggregate bilateral trade with path dependence of country-pair level exporter status. Such path dependence is motivated through informational costs about serving a foreign market for first-time entry of (firms in) an export...

Persistent link: https://www.econbiz.de/10009144727

How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics

Wickens, Michael R. - C.E.P.R. Discussion Papers - 2014

This lecture is about how best to evaluate economic theories in macroeconomics and finance, and the lessons that can be learned from the past use and misuse of evidence. It is argued that all macro/finance models are `false' so should not be judged solely on the realism of their assumptions. The...

Persistent link: https://www.econbiz.de/10011083483

Understanding Uncertainty Shocks and the Role of Black Swans

Orlik, Anna; Veldkamp, Laura - C.E.P.R. Discussion Papers - 2014

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...

Persistent link: https://www.econbiz.de/10011084011

The Impact of the Terms of Trade on Economic Development in the Periphery, 1870-1939: Volatility and Secular Change

Blattman, Christopher; Hwang, Jason; Williamson, Jeffrey G - C.E.P.R. Discussion Papers - 2005

new panel database for 35 countries, this paper estimates the impact of terms of trade volatility and secular change on … country performance between 1870 and 1939. Volatility was much more important for accumulation and growth than was secular …

Persistent link: https://www.econbiz.de/10005124340