Narrow search
Showing 1 - 10 of 366
Cover Image
Exchange Competition, Entry, and Welfare
Cespa, Giovanni - 2019
liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …
Persistent link: https://www.econbiz.de/10012892152
Cover Image
Macroeconomic Expectations and State-Dependent Factor Returns
Haase, Felix; Neuenkirch, Matthias - 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...
Persistent link: https://www.econbiz.de/10014469728
Cover Image
Money Is the Root of Asset Bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is not created due to a hold-up problem. Monetary expansion increases buyers' money holdings, and then, dealers are willing to buy a worthless asset from sellers, in hopes of...
Persistent link: https://www.econbiz.de/10014534470
Cover Image
Long run and cyclical dynamics in the US stock market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007
This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...
Persistent link: https://www.econbiz.de/10010264167
Cover Image
No-trade in the laboratory
Angrisani, Marco; Guarino, Antonio; Huck, Steffen; … - 2008
We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains...
Persistent link: https://www.econbiz.de/10010264465
Cover Image
A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10010266065
Cover Image
Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...
Persistent link: https://www.econbiz.de/10010272747
Cover Image
Higher order expectations, illiquidity, and short-term trading
Cespa, Giovanni; Vives, Xavier - 2011
Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …. Equivalently, illiquidity arises as a byproduct of the lack of participation of informed investors in their capacity of liquidity …
Persistent link: https://www.econbiz.de/10010274821
Cover Image
Predictability of asset returns and the efficient market hypothesis
Pesaran, Mohammad Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10010276273
Cover Image
Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10010276757