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market returns volatility. The squared residuals of the GARCH(1,1) regression model proxied macroeconomic uncertainty levels …
Persistent link: https://www.econbiz.de/10015264417
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
Abstract: The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the S&P500 and...
Persistent link: https://www.econbiz.de/10015221999
equally important effect on volatility. Second, that market belief is actually an ... …
Persistent link: https://www.econbiz.de/10015222923
Misspecification of agents' information sets or expectation formation mechanisms maylead to noncausal autoregressive representations of asset prices. Annual US stock prices are found to be noncausal, implying that agents' expectations are not revealed to an outside observer such as an...
Persistent link: https://www.econbiz.de/10015226692
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
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
We design an experiment to study the implications of information networks for the incentive to acquire costly information, market liquidity, investors' earnings and asset price characteristics in a financial market. Social communication crowds out information production as a result of agent's...
Persistent link: https://www.econbiz.de/10015257078
reluctant to realize losses. In particular, we present a set of stylized facts of financial markets (fat tails, volatility …
Persistent link: https://www.econbiz.de/10015268285
as the prevalence of excess volatility and the relation between financial markets and the macro-economy. The final two …
Persistent link: https://www.econbiz.de/10015244427