Essays on News and Asset Prices

Jan 3, 2006 - forecast for this year, saying Ford's assumptions for flat prices and stable .... Figure 1.6 shows Citi's long term sentiment when nor-...

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Market reaction for ADC Telecom following new news and stale news. This figure ... with the most pessimistic valuations are unable to sell short. I explore two ...

Apr 12, 2007 - Chordia, T., and L. Shivakumar, 2005. Inflation illusion and post-earnings-announcement drift, Journal of Accounting Research 43 (4), 521-556.

In addi- tion, we used a high frequency data recorded on about 20 seconds time- interval over ... being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable .... Submitted for publication in Quantitative Finance.

Asset prices are connected to macroeconomic policy through monetary and fiscal policy's impact on interest rates together ... have sought to determine the optimal behavior of monetary policy while abstracting from asset ...... This can be solved forw

Subrahmanyam, Avanidhar, 2006, Lagged order flows and returns: A longer-term ...... The former captures shifts in the market's assessment of stock fun- ..... then insider could implement destabilizing schemas and earn unbounded profits.

Until fairly recently, the theory of corporate finance has been based on the idea that a .... and the excess monthly stock return. 0.50%. 0.55%. 0.60%. 0.65%. 0.70% ..... 18 This beta risk is measured by the “co-variance” of the stock's return wi

Mar 20, 2009 - financial flexibility are both important determinants of asset prices. ... Jonathan Berk, Bob Goldstein, Dwight Jaffee, Hayne Leland, Dmitry Livdan, Nancy ..... on simulation techniques for the numerical solution, since he has four sta

May 26, 2014 - constant and always greater than 1, and they tend to unity as sj approaches zero. Thus the risk of idiosyncratic jumps in small assets is not priced, and in general the price associated with idiosyncratic jump risk is small when the nu

Jan 1, 2015 - for the asset pricing dynamics of equity, gold, and platinum markets, and .... LIST OF ILLUSTRATIONS ...... (and b2) cannot be arbitrarily set.

Sep 19, 2005 - example, Lo, Mamaysky and Wang (2004), Vayanos (2004), and Acharya and Pedersen (2004)). Since Mandelbrot's (1963) and Fama's (1965) ...

implications empirically for any trading period t: (i) measure income Et and supply (fs t ,fh t ,Dt) from the Flow-of-Funds accounts, (ii) specify households' return and income expectations, (iii) solve households' savings and portfolio choice proble

We start with a standard real business cycle model driven by productivity shocks .... The consumption good is produced according to a constant returns to scale ...

Table 1 below). Motivated by this, we present a general equilibrium model in which variation in investor confidence about expected growth determines risk premia .... investors give to recent news to a constant K. Under the recency bias specification,

Oct 24, 2007 - In the absence of frictions, asset prices are discounted expected cash flows, therefore unexpected variation in .... Vuolteenaho (2004) use an indirect method to extract cash&flow news, decomposing the market ... the above reasons shar

Dec 23, 2009 - temperature in determining risk premia and asset valuations. ... Using post-war cross- .... In Section 3 we setup the long-run risks model.

Die Akteure können Kredite gegen Hinterlegung von Vermögenswerten aufnehmen .... dividend stream but also by the fraction of the asset that can be confiscated in case ..... rates and the probability distribution for the four exogenous shocks of the

American Economic Review 91.1, 79-98. Benartzi, S., Thaler, R.H., 2002. How much is investor autonomy worth? Jour- nal of Finance 57, 1593-1616. Benartzi ...

(1999) if one had invested $10,000 in Cisco Systems in 1990, the investment .... modeled as a dynastic family whose size grows at an exogenous growth rate gN .... (11) where s0 = s(τ,τ) is the initial market share and δ > 0 is a parameter that ...

sum of net positive positions of all market participants, and total outstanding debt issued ... a decrease in stock prices and an increase in CDS premia of the reference firms in ..... However, the dependence is not made explicit to simplify notation

of intertemporal substitution equal to unity and risk aversion γ. Therefore, our specification of myopic CRRA preferences gives rise to equilibrium processes consistent with baseline asset pricing models. The optimal stock holdings of shareholders ar

In Finance, a related paper exploring this idea is DeMarzo, Kaniel ... provide explicit solutions for the case of investors compensated with fulcrum fees, though ...... Berk, J., and R. Green, 2004, “Mutual Fund Flows and Performance in ... Bushee,

Oct 3, 2003 - Social Science Research Network Electronic Paper Collection: .... and supply shocks we extract from the (daily) financial markets data should have explanatory power ... focusing on the nominal exchange rate ins

Jun 5, 2013 - Asset Pricing program meeting in Chicago, Norwegian School of Management BI, and the 2008 Econometric Society meetings in New .... investors raise their investments in the nontraded asset in response to a good advance information signal

sectionally, stocks with high loadings on past tail risk earn an annual .... markets. First, we test the hypothesis that tail risk forecasts aggregate stock market returns. ..... elements of Rt. This is without loss of generality because the elements