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News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media

Schuster, Thomas - EconWPA - 2003

Numerous empirical studies have demonstrated that asset prices react rapidly, if at all, to news published in the mass media. In many cases, the information has been discounted and prices have already moved upon primary publication through news wires, press releases or firm announcements. Any...

Persistent link: https://www.econbiz.de/10005561573

Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media

Schuster, Thomas - EconWPA - 2003

The business media play an active role in influencing stock prices. Statistically significant excess returns at the time of the publication of stock recommendations have been documented many times. Frequently these abnormal gains begin to accumulate long before the publication date. In most...

Persistent link: https://www.econbiz.de/10005134740

Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media

Schuster, Thomas - EconWPA - 2003

A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...

Persistent link: https://www.econbiz.de/10005134753

Disclosure to an Audience with Limited Attention

Hirshleifer, David; LIM, SONYA SEONGYEON; Teoh, Siew Hong - EconWPA - 2004

In our model, informed players decide whether or not to disclose, and observers allocate attention among disclosed signals, and toward reasoning through the implications of a failure to disclose. In equilibrium disclosure is incomplete, and observers are unrealistically optimistic. Nevertheless,...

Persistent link: https://www.econbiz.de/10005407521

Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution

LOS, CORNELIS A. - EconWPA - 2004

extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting … return-risk attribution accounting framework is applied to monthly return data of Hong Kong, Indonesia, Japan, Malaysia, the … of the Asian currency crisis of July - December 1997. The USA and Germany are included as alternative low risk strategic …

Persistent link: https://www.econbiz.de/10005125061

Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

Sansone, Alessandro; Garofalo, Giuseppe - EconWPA - 2005

dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian …

Persistent link: https://www.econbiz.de/10005413058

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

Persistent link: https://www.econbiz.de/10005413091

An Analysis of the Impacts of Non-Synchronous Trading On

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is...

Persistent link: https://www.econbiz.de/10005413096

Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - EconWPA - 2002

We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that...

Persistent link: https://www.econbiz.de/10005413109

Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Altay, Erdinc - EconWPA - 2003

This paper studies the cross-autocorrelation structure in the German and Turkish stock markets by using daily portfolio returns. We find the evidence that large cap portfolios lead small cap portfolios in both subperiods of German stock market but this structure is seen only in the first...

Persistent link: https://www.econbiz.de/10005413132