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Market impact of government communication : the case of presidential tweets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021
and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for …
Persistent link: https://www.econbiz.de/10012643914
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A modern take on market efficiency : the impact of Trump's tweets on financial markets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its … investigate whether the tweets contain relevant information for financial markets, i.e. whether they affect market returns …-existing market trends and therefore do not provide material new information that would influence prices or trading. We show that past …
Persistent link: https://www.econbiz.de/10012508898
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598385
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Clustering-based sector investing
Bagnara, Matteo; Goodarzi, Milad - 2023
Industry classification groups firms into finer partitions to help investments and empirical analysis. To overcome the well-documented limitations of existing industry definitions, like their stale nature and coarse categories for firms with multiple operations, we employ a clustering approach...
Persistent link: https://www.econbiz.de/10014318392
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Leaning against the wind : debt financing in the face of adversity
Brennan, Michael J.; Kraft, Holger - 2015
We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider three possible explanations: market timing, precautionary financing, and...
Persistent link: https://www.econbiz.de/10011434790
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Leaning against the wind : debt financing in the face of adversity
Brennan, Michael J.; Kraft, Holger - 2016
We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider three possible explanations: market timing, precautionary financing, and...
Persistent link: https://www.econbiz.de/10012061872
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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on...
Persistent link: https://www.econbiz.de/10012061992
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10012062155
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in the...
Persistent link: https://www.econbiz.de/10012062186
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...
Persistent link: https://www.econbiz.de/10011987269