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Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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VPIN and the Flash Crash
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011
Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...
Persistent link: https://www.econbiz.de/10009644870
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As crises financeiras
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2015
This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the …
Persistent link: https://www.econbiz.de/10011123536
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Asymmetric information and financial markets
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2012
This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the …
Persistent link: https://www.econbiz.de/10011111296
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - School of Economics and Management, University of Aarhus - 2012
We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link … while controlling for the effects of both public information (such as macroeconomic news releases) and private information … on prices and the effect of public information on volatility. Using high-frequency 30-year U.S. Treasury bond futures …
Persistent link: https://www.econbiz.de/10009652371
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INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL.
Ewald, Christian-Oliver; Xiao, Yajun - Volkswirtschaftliche Fakultät, … - 2007
different levels of information. Technically our model represents a stochastic differential game with anticipative strategy sets … of information asymmetry. Furthermore we study in how far the asymmetry in the level of information influences Nash …-equilibria and general welfare. We show that under certain conditions in a competitive environment an increased level of information …
Persistent link: https://www.econbiz.de/10005790283