Showing 1 - 10 of 76,795
This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …
Persistent link: https://www.econbiz.de/10011344170
We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between 2006 and 2008. For the majority of stocks, jumps do not...
Persistent link: https://www.econbiz.de/10010680442
Researchers have incorporated labor or credit market frictions in isolation within simple neoclassical models to open up a role for institutions, inject realism into their models and examine the impact of these distortions on output and employment. We present an overlapping generations model...
Persistent link: https://www.econbiz.de/10009418938
We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium … speculate onprice changes. Information dispersion leads agents to have heterogeneous expectationsabout housing demand and prices …
Persistent link: https://www.econbiz.de/10009522191
This paper develops a structural model to examine high-frequency price dynamics. The key innovation is to allow trades …-world data to the model. The filtered series significantly recover the efficient price innovation through the dynamics of trade …
Persistent link: https://www.econbiz.de/10012852923
This paper finds that fund managers do not expect mean reverting returns, as suggested by theory andempirical evidence, but mean averting returns.[...]
Persistent link: https://www.econbiz.de/10005867603
Extreme adverse selection arises when private information has unboundedsupport, and market breakdown occurs when no … support of private information converges to an unboundedsupport. A necessary and sufficient condition for market breakdown is …
Persistent link: https://www.econbiz.de/10005867928
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …
Persistent link: https://www.econbiz.de/10010280788
subject to a private information problem. The asset plays the role of a medium of exchange, but this role can be affected by … information, a set of experiments with adverse selection where the terminal value of notes are determined exogenously, and a set …
Persistent link: https://www.econbiz.de/10010316877