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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

investigation stock returns exhibit significant asymmetric GARCH effects where bad news generate greater volatility. The exception … to this rule is Hungary where good news cause greater volatility than bad volatility. This leads us to formulate a …

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

Carry

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

, and volatility risks, its performance presents a challenge to asset pricing models. …

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

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock returns of a small open economy, Portugal, and a large open economy, the U.S. We also study the role of public and private information in the price formation process in the U.S. and...

Persistent link: https://www.econbiz.de/10005666949

Global Private Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...

Persistent link: https://www.econbiz.de/10005667137

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10005791707

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

Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

Persistent link: https://www.econbiz.de/10008867494

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