Narrow search
Showing 1 - 10 of 3,438
Cover Image
Learning from prices: information aggregation and accumulation in an asset market
Berardi, Michele - 2020
Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two...
Persistent link: https://www.econbiz.de/10015214001
Cover Image
Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10015230635
Cover Image
Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - 2007
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10015233041
Cover Image
Optimal Learning, Overvaluation and Overinvestment
Barbosa, António - 2019
Periods of technological revolution are usually associated with overvaluation of and overinvestment by innovating firms. This paper develops a model that explains this behavior in a frictionless rational setting. When fully rational innovating firms face uncertainty about the returns to scale of...
Persistent link: https://www.econbiz.de/10015265957
Cover Image
Uncertainty, sentiments and time-varying risk premia
Berardi, Michele - 2021
Why are stock prices much more volatile than the underlying dividends? The excess volatility of prices can in principle be attributed to two different causes: time-varying discount rates for expected future dividends, arising from variation in risk premia; or the irrational exuberance of...
Persistent link: https://www.econbiz.de/10015239238
Cover Image
Firm Complexity and Post-Earnings-Announcement Drift
Barinov, Alexander; Park, Shawn Saeyeul; Yildizhan, Celim - 2014
The paper shows that the post earnings announcement drift is stronger for conglomerates, despite conglomerates being larger, more liquid, and more actively researched by investors. We attribute this finding to slower information processing about complex firms and show that the post earnings...
Persistent link: https://www.econbiz.de/10015241212
Cover Image
Firm Complexity and Post-Earnings-Announcement Drift
Barinov, Alexander; Park, Shawn Saeyeul; Yildizhan, Celim - 2014
The paper shows that the post earnings announcement drift is stronger for conglomerates, despite conglomerates being larger, more liquid, and more actively researched by investors. We attribute this finding to slower information processing about complex firms and show that the post earnings...
Persistent link: https://www.econbiz.de/10015241239
Cover Image
A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency
Steve, Heinke; Niels, Warmuth - 2016
In this paper we present a new model of how information travels within financial markets and present empirical evidence … prevailing concept of efficient markets. Augmenting our model by a shift component made it possible to explain shifts in asset …
Persistent link: https://www.econbiz.de/10015250356
Cover Image
A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency
Heinke, Steve; Warmuth, Niels - 2016
In this paper we present a new model of how information travels within financial markets and present empirical evidence … prevailing concept of efficient markets. Augmenting our model by a shift component made it possible to explain shifts in asset …
Persistent link: https://www.econbiz.de/10015250476
Cover Image
Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis
Papadamou, Stephanos; Fassas, Athanasios; Kenourgios, … - 2020
searching term and theme, on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia … effects leads to elevated risk-aversion in stock markets. Understanding the links between investors’ decision over a pandemic … crisis and asset prices variability is critical for understanding the policy measures needed in markets and economies. …
Persistent link: https://www.econbiz.de/10015211946