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Inside information and public news : R-squared and beyond
Brown, William O. - 1999
This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.
Persistent link: https://www.econbiz.de/10011566279
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Redistribution of return inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012499593
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The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10011952636
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The impact of heterogeneous signals on stock price predictability in a strategic trade model
Winter, Christoph - 2018
Generalizing the idea that price momentum can be explained by different levels of uncertainty inherent in the information structure, we implement signal-specific differences in uncertainty in a Kyle type model of strategic trading. We derive the equilibrium in a single-auction setting as well as...
Persistent link: https://www.econbiz.de/10011952637
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Information shocks and the cross section of expected returns
Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769
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The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first …
Persistent link: https://www.econbiz.de/10012698207
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Stock price reactions to ESG News : the role of ESG ratings and disagreement
Serafeim, George; Yoon, Aaron - 2020 - This draft: October 2020
We investigate whether ESG ratings predict future ESG news and the associated market reactions. We find that the … consensus rating predicts future news, but its predictive ability diminishes for firms with large disagreement between raters …. Relation between news and market reaction is moderated by the consensus rating. In the presence of high disagreement between …
Persistent link: https://www.econbiz.de/10012511894
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Has the Grexit news affected euro area financial markets?
Gregori, Wildmer Daniel; Sacchi, Agnese - 2017
countries' sovereign bond yields. Our empirical analysis is based on more than 64,000 daily news items on Grexit between … December 2014 and October 2015. We build a Grexit intensity index based on the daily change of Grexit news items to capture … policy uncertainty about the euro area break-up. Our results suggest that higher intensity of Grexit news drives up …
Persistent link: https://www.econbiz.de/10012054687
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
Persistent link: https://www.econbiz.de/10015204018