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Disclosing a Random Walk
Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej - 2022
We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed...
Persistent link: https://www.econbiz.de/10013306273
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The nature and magnitude of the effects of asymmetric regulation of mobile termination rates on the Mexican retail prices
Robles-Rovalo, Arturo; Díaz-Goti, Emiliano; … - 2018
regulation. In our example, the termination rates have been part of a vertical restriction strategy. The observed network … competition, rest on a cost-based asymmetric price regulation. The further research allows a statistical assessment of the …In theory, network profits are independent of the reciprocal termination rates when operators charge nondiscriminatory …
Persistent link: https://www.econbiz.de/10012012970
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Identifying Information Asymmetry in Securities Markets
Back, Kerry - 2018
We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and...
Persistent link: https://www.econbiz.de/10012937478
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Volatility modeling for forecasting stock index with fixed parameter distributional assumption
Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122
The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...
Persistent link: https://www.econbiz.de/10009741216
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Calculating and Interpreting Multipliers in the Presence of Non-Stationary Time Series : The Case of U.S. Federal Infrastructure Spending
Stevans, Lonnie K.; Sessions, David N. - 2011
In this analysis, we discuss two measures that have been used by economists to measure changes in macroeconomic policies: the dynamic multiplier and the impulse response function. These multipliers are identical under specific conditions, e.g., by imposing certain restrictions on a VAR model....
Persistent link: https://www.econbiz.de/10014206925
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Corporate Scandals and Regulation : Appendix on Data Collection for Historical Time-Series from 1800 to 2015
Hail, Luzi - 2018
), Corporate Scandals and Regulation, Journal of Accounting Research 56(2): 617–671: a brief overview of the country's historical … the episodes of corporate scandals and (accounting) regulation that we identified (including a few illustrative examples …
Persistent link: https://www.econbiz.de/10012934134
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Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations
2004
It is well known from time series analysis that shocks to aggregate output have very persistent effects. This paper argues that the relation between the expected growth rate of a firm and its size provides a microfoundation for such aggregate persistence. The empirical evidence indicates that...
Persistent link: https://www.econbiz.de/10014189506
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Testing Multiple Forecasters
Feinberg, Yossi - 2007
We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...
Persistent link: https://www.econbiz.de/10012730968
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Memory and Markets
Kovbasyuk, Sergey - 2017
In many environments, including credit and online markets, past records about participants are collected, published, and erased after some time. We study the effects of erasing past records on trade and welfare in a dynamic market where each seller's quality follows a Markov process and buyers...
Persistent link: https://www.econbiz.de/10012941837
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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns
Dienemann, Fabian - 2020
that post-financial crisis regulation has increased the price impact of customer sell orders, which could exacerbate a …
Persistent link: https://www.econbiz.de/10012835834