Showing 1 - 10 of 10
We show that productivity at both the firm and employee (i.e., analyst and inventor) level temporarily declines upon announcements of takeover rumors that do not materialize. Such speculative news may hurt productivity because uncertainty and threat of job loss cause anxiety, distraction, and...
Persistent link: https://www.econbiz.de/10014540304
We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...
Persistent link: https://www.econbiz.de/10013236779
We analyze the interaction between high workload of the Securities and Exchange Commission (SEC) staff and the information production stimulated by their review process of initial public offerings (IPOs). We find that high workload is associated with more generic comments in the first letter,...
Persistent link: https://www.econbiz.de/10013236937
We disentangle the risk of time-varying volatility and return in a consumption-based asset pricing model by introducing stochastic volatility of consumption growth to asset prices moving in volatility units instead of moving in time. This time-change approach yields additional insights to risk...
Persistent link: https://www.econbiz.de/10012926553
Persistent link: https://www.econbiz.de/10010342760
The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...
Persistent link: https://www.econbiz.de/10010486036
Persistent link: https://www.econbiz.de/10011758935
Persistent link: https://www.econbiz.de/10012196740
We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet...
Persistent link: https://www.econbiz.de/10012933848
The rise and subsequent collapse of US house prices was one of the factors underlying the recent financial crisis. One could expect that the crisis brought increased attention to the housing market and thus led to stronger market reactions to house price news. We find that reactions indeed...
Persistent link: https://www.econbiz.de/10014188328