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The Existence of Informationally Efficient Markets When Individuals Are Rational
Muendler, Marc-Andreas - CESifo - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …
Persistent link: https://www.econbiz.de/10005406399
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Controlling Complexity in Spatial Modelling
Paelinck, Jean - CESifo - 2000
-set deviation compared to single-set ones; an interpretation is given in terms of information costs; examples show the relevance of …
Persistent link: https://www.econbiz.de/10005181604
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How Prediction Markets can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - CESifo - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...
Persistent link: https://www.econbiz.de/10009020786
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013
–frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via …
Persistent link: https://www.econbiz.de/10010877723
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How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market
Sattarhoff, Cristina - 2018
anticipated, the second finding is noteworthy, as various observers expressed concerns with regard to the information efficiency …
Persistent link: https://www.econbiz.de/10012913274
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How Prediction Markets Can Save Event Studies
Snowberg, Erik - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...
Persistent link: https://www.econbiz.de/10013125691
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan - 2013
–frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via …
Persistent link: https://www.econbiz.de/10013074401
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The Economics of Bitcoins - Market Characteristics and Price Jumps
Gronwald, Marc - CESifo - 2014
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10011099050
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an …
Persistent link: https://www.econbiz.de/10012910613
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section … is insensitive to outliers. Many of the previously identified return predictors do not provide incremental information …
Persistent link: https://www.econbiz.de/10012958874