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Higher order expectations, illiquidity, and short-term trading
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 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 as liquidity …
Persistent link: https://www.econbiz.de/10010833008
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Dynamic trading and asset prices: Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2007
We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...
Persistent link: https://www.econbiz.de/10005057438
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Price efficiency and short selling
Saffi, Pedro; Sigurdson, Kari - IESE Business School, Universidad de Navarra - 2008
This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...
Persistent link: https://www.econbiz.de/10005021733
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Differences of opinion, information and the timing of trades
Saffi, Pedro - IESE Business School, Universidad de Navarra - 2008
This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....
Persistent link: https://www.econbiz.de/10005021753
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Herd behavior towards the market index: Evidence from 21 financial markets
Wang, Daxue - IESE Business School, Universidad de Navarra - 2008
This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...
Persistent link: https://www.econbiz.de/10005021810
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Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
Manzano, Carolina; Vives, Xavier - IESE Business School, Universidad de Navarra - 2010
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10008641476
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Asset auctions, information and liquidity
Vives, Xavier - IESE Business School, Universidad de Navarra - 2009
A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...
Persistent link: https://www.econbiz.de/10008463045
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Equity lending markets and ownership structure
Saffi, Pedro A.C.; Sturgess, Jason - IESE Business School, Universidad de Navarra - 2009
Using proprietary data on equity lending supply, loan fees and quantities, we examine the link between institutional ownership structure and the market for equity lending and stock prices. We find that both total institutional ownership and ownership concentration (measured by the Herfindahl...
Persistent link: https://www.econbiz.de/10008463048
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Descensos memorables en las cotizaciones: Telepizza y Boston Chicken
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2006
En este documento se analizan dos empresas con actividades muy similares: Boston Chicken, una cadena de más de 1.700 restaurantes especializados en comida casera, y TelePizza, una cadena de más de 700 pizzerías. Ambas crecieron mucho en la década de los noventa y tuvieron un período de...
Persistent link: https://www.econbiz.de/10004970682
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Creación de valor para los accionistas de las eléctricas españolas (1991-2006)
Fernandez, Pablo; Carabias, Jose M. - IESE Business School, Universidad de Navarra - 2007
En este documento se cuantifica la creación de valor para los accionistas de Endesa (ELE), de Iberdrola (IBE) y Unión Fenosa (UNF) entre diciembre de 1991 y diciembre de 2006. En ese periodo, el aumento de la capitalización (en millardos de euros) fue: ELE 33,4; IBE 26,3 y UNF 10,5. La...
Persistent link: https://www.econbiz.de/10004970685