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Rethinking Capital Structure Arbitrage : A Price Discovery Perspective

Avino, Davide E. - 2020

The capital structure arbitrage strategy exploits the discrepancies between the credit default swap and equity markets … traditional arbitrage trading during the financial crisis. Furthermore, the returns of the new strategies have lower correlation … with market returns than the standard capital structure arbitrage …

Persistent link: https://www.econbiz.de/10012857255

Is There a Latent Factor in Stock Returns?

Gatfaoui, Hayette - 2017

The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly...

Persistent link: https://www.econbiz.de/10014058282

Limited Information-Processing Capacity And Asymmetric Stock Correlations

Ceylan, Ozcan - 2016

Through an orthogonalized impulse-response analysis, I studied the relationship between the variance risk premium, market variance and stock correlations in the French stock market from September 2002 through September 2006, using high-frequency data-based measures. Variance risk premium is...

Persistent link: https://www.econbiz.de/10012980987

Equilibrium Information Acquisition, Prediction Abilities and Asset Prices

Guo, Wen‐Chung - 2011

The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk...

Persistent link: https://www.econbiz.de/10013132449

Liquidity and Asset Prices : A Unified Framework

Vayanos, Dimitri - 2010

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

Persistent link: https://www.econbiz.de/10013151970

Identification of Information Networks in Stock Markets

Baltakienė, Margarita; Kanniainen, Juho; Baltakys, … - 2021

We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks' topology. Most importantly, our...

Persistent link: https://www.econbiz.de/10013234475

Machine Invasion : Automation in Information Processing and the Cross Section of Stock Returns

Pungaliya, Raunaq S. - 2020

We separate downloads on the SEC EDGAR database into human and machine actions by the intensity of information retrieval (Ryans, 2017). The split shows that the extent of machine downloads has risen 35 times since 2004, accounting for over 96% of total downloads as of 2016. We formally...

Persistent link: https://www.econbiz.de/10012851754

Sorting, Selection, and Announcement Returns in Takeover Markets

Kawakami, Kei - 2019

We present a competitive model of takeovers that explains two robust features of the data: target premia and size-dependent bidder returns. Takeovers are driven by complementarity between two factors, non-tradeable "skill" and a tradeable "project". Firms are heterogeneous in both dimensions....

Persistent link: https://www.econbiz.de/10012866320

Fractional Differencing in Stock Market Price and Online Presence of Global Tourist Corporations

Flores-Muñoz, Francisco - 2019

Purpose – This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google...

Persistent link: https://www.econbiz.de/10012858156

Savings Gluts and Financial Fragility

Bolton, Patrick - 2018

Originators produce higher quality assets at a private cost. These assets can either be bought by informed intermediaries or sold in a pool with low quality assets. Savings gluts diminish origination incentives because they compress the spread between the price paid for high quality assets and...

Persistent link: https://www.econbiz.de/10012936410