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Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010326188

Anreizwirkungen und Bewertung von Erfolgsbeteiligungen im Portefeuillemanagement

Gillenkirch, Robert M. - 1997

Performance fees for portfolio managers are designed to align the managers' goals with those of the investors and to motivate managers to aquire superior information and to make better investment decisions. A part of the literature analyzes performance fees on the basis of market valuation. In...

Persistent link: https://www.econbiz.de/10010316252

Price efficiency and trading behavior in limit order markets with competing insiders

Stöckl, Thomas - 2013

We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i)...

Persistent link: https://www.econbiz.de/10010397152

Introducing a spread into the Kyle model

Salomonsson, Marcus - 2009

The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable...

Persistent link: https://www.econbiz.de/10010281344

Idiosyncratic coskewness and equity return anomalies

Chabi-Yo, Fousseni; Yang, Jun - 2010

idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …

Persistent link: https://www.econbiz.de/10010279891

Private information flow and price discovery in the U.S. treasury market

Jiang, George J.; Lo, Ingrid - 2011

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S....

Persistent link: https://www.econbiz.de/10010280033

The existence of informationally efficient markets when individuals are rational

Muendler, Marc-Andreas - 2004

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...

Persistent link: https://www.econbiz.de/10010261275

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - 2008

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted …

Persistent link: https://www.econbiz.de/10010303673

How trade splits up information sets and dealers carry out their brokerage of asymmetric information

Apreda, Rodolfo - 2005

In this paper we set forth a new perspective from which to understand and measure the brokerage of asymmetric information that intermediaries usually carry out. Firstly, we deal with partitions of a given set so as to lay grounds to our line of research. Secondly, we argue that trade splits up...

Persistent link: https://www.econbiz.de/10010323246

Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?

Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Persistent link: https://www.econbiz.de/10010325965