Showing 1 - 10 of 481
, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction …
Persistent link: https://www.econbiz.de/10005114244
about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher …
Persistent link: https://www.econbiz.de/10011084220
The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We …
Persistent link: https://www.econbiz.de/10005136583
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
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
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
applications of our theory. We first show that predictions of our model provide a novel theoretical justification and are … theory of debt versus equity. Third, we provide conditions under which permanent over- or under-pricing of assets is …
Persistent link: https://www.econbiz.de/10011083236
We present a model of quantitative trading as an automated system under human supervision. Contrary to previous literature we show that price-contingent trading is the profitable equilibrium strategy of large rational agents in efficient markets. The key ingredient is uncertainty about whether a...
Persistent link: https://www.econbiz.de/10011083393
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine over 140 years of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy has earned abnormally high risk-adjusted returns—a...
Persistent link: https://www.econbiz.de/10011083413
The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...
Persistent link: https://www.econbiz.de/10011083426