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Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

Bouteska, Ahmed; Regaieg, Boutheina - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 451-478

overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was … assessed. Second, the impact of overconfidence on market performance was discussed. Design/methodology/approach - This study … this is achieved for both sectors. In contrast, the findings suggest that overconfidence positively affects market …

Persistent link: https://www.econbiz.de/10012434081

Noisy Arrow-Debreu equilibria

Malamud, Semyon - 2015

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that render the market complete. I show a major difference in equilibrium behaviour between models with constant absolute risk aversion (CARA) and non-CARA preferences. First, when...

Persistent link: https://www.econbiz.de/10011296088

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

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

Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - 2020

The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of...

Persistent link: https://www.econbiz.de/10012437539

Do prices in the unmediated call auction reflect insider information?: an experimental analysis

Brünner, Tobias; Levínský, René - 2008

The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...

Persistent link: https://www.econbiz.de/10010275685

Information-Based Trading and Autocorrelation in Individual Stock Returns

Yin, Xiangkang - 2016

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Persistent link: https://www.econbiz.de/10013003395

Information-Based Trading and Autocorrelation in Individual Stock Returns

Yin, Xiangkang - 2016

Persistent link: https://www.econbiz.de/10013003995

Informed Trading and Stock Market Efficiency

Mäkinen, Taneli - 2015

The information content of stock prices is analysed without imposing strong restrictions on traders' preferences and the distribution of dividends. Noise in the information contained in equilibrium prices arises from endogenous asset supply, which offsets price movements due to informed trading....

Persistent link: https://www.econbiz.de/10013027362

Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Hillairet, Caroline - 2016

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...

Persistent link: https://www.econbiz.de/10012981705