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The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China

Beltratti, Andrea - 2011

During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS) typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis, based on...

Persistent link: https://www.econbiz.de/10013125357

Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

Gilbert, Thomas - 2016

1998-2013 period, a significant fraction of the variation in the announcements' price impact on the Treasury bond futures …

Persistent link: https://www.econbiz.de/10012999415

Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?

Kurov, Alexander - 2016

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

Persistent link: https://www.econbiz.de/10012992424

How News Affects Sectoral Stock Prices Through Earnings Expectations and Risk Premia

Kristiansen, Kristian Loft; Hvid, Anna - 2021

A growing body of literature analyses the impact of news on companies’ equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10013314912

Stale Information, Shocks and Volatility

Gropp, Reint; Kadareja, Arjan - 2021

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

Persistent link: https://www.econbiz.de/10013317418

Knightian uncertainty and credit cycles

Gerba, Eddie; Żochowski, Dawid - 2017

The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are...

Persistent link: https://www.econbiz.de/10011804383

The stock market reaction to the 2005 non-tradable share reform in China

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011

During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis,...

Persistent link: https://www.econbiz.de/10011605385

Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - 2008

-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing …

Persistent link: https://www.econbiz.de/10011604993

Foreign-Currency Bonds : Currency Choice and the Role of Uncovered and Covered Interest Parity

Habib, Maurizio Michael; Joy, Mark - 2021

-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing …

Persistent link: https://www.econbiz.de/10013316472

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk … tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

Persistent link: https://www.econbiz.de/10013156973