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Author: Guy Kaplanski
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an increase in the option trading volume and the underlying index's actual price volatility. These results shed light on the informational role of index options and suggest that the theoretical models' results regarding information processing and price discovery in the presence of private information are not limited to single stocks but also apply to the market as a whole.
Author: Guy Kaplanski
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an increase in the option trading volume and the underlying index's actual price volatility. These results shed light on the informational role of index options and suggest that the theoretical models' results regarding information processing and price discovery in the presence of private information are not limited to single stocks but also apply to the market as a whole.
Author: Florian Bardong
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
The major contribution of this paper is to utilise the direct measures of informed trading and information asymmetry developed in the market microstructure literature to provide rich insights into how the information environment changes during and after a corporate break-up. The paper analyses all corporate break-ups over the eleven-year period 1995-2005. We find that the information asymmetry faced by investors reduces significantly as a result of the break-up. However, this reduction takes place not at the time of the announcement or its quot;completionquot;, but after it has been fully consummated. We also find that not all informed investors are equally affected. In particular, informed investors who generate their information advantage by skilled processing of market-wide information, become more important relative to the traditional insider with private firm-specific information. This potentially explains why financial advisors promote break-ups among their corporate clients as they are likely beneficiaries. Finally, we find that the positive stock-market reaction to break-up announcements is significantly related to reductions in information asymmetry. Given the extant evidence of information asymmetry being a priced risk factor, this finding helps to reconcile some of the existing explanations for corporate break-ups.
Author: Markus K. Brunnermeier
Publisher: OUP Oxford
ISBN: 0191606928
Category : Business & Economics
Languages : en
Pages : 262
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Book Description
Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.
Author: Ricardo N. Bebczuk
Publisher: Cambridge University Press
ISBN: 9780521797320
Category : Business & Economics
Languages : en
Pages : 176
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Book Description
Asymmetric information (the fact that borrowers have better information than their lenders) and its theoretical and practical evidence now forms part of the basic tool kit of every financial economist. It is a phenomenon that has major implications for a number of economic and financial issues ranging from both micro and macroeconomic level - corporate debt, investment and dividend policies, the depth and duration of business cycles, the rate of long term economic growth - to the origin of financial and international crises. Asymmetric Information in Financial Markets aims to explain this concept in an accessible way, without jargon and by reducing mathematical complexity. Using elementary algebra and statistics, graphs, and convincing real-world evidence, the author explores the foundations of the problems posed by asymmetries of information in a refreshingly accessible and intuitive way.
Author: Shiva S. Makki
Publisher:
ISBN:
Category : Adverse selection (Insurance)
Languages : en
Pages : 44
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Book Description
Author: Huining Henry Cao
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 366
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Book Description
Author: Füllbrunn, Sascha
Publisher: Edward Elgar Publishing
ISBN: 1800372337
Category : Business & Economics
Languages : en
Pages : 451
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Book Description
With an in-depth overview of the past, present and future of the field, The Handbook of Experimental Finance provides a comprehensive analysis of the current topics, methodologies, findings, and breakthroughs in research conducted with the help of experimental finance methodology. Leading experts suggest innovative ways of designing, implementing, analyzing, and interpreting finance experiments.
Author: Lynne Pepall
Publisher: John Wiley & Sons
ISBN: 1119184401
Category : Business & Economics
Languages : en
Pages : 353
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Book Description
Your no-nonsense guide to microeconomics The study of microeconomics isn't for the faint of heart. Fortunately, Microeconomics For Dummies is here to help make this tough topic accessible to the masses. If you're a business or finance major looking to supplement your college-level microeconomics coursework—or a professional who wants to expand your general economics knowledge into the microeconomics area—this friendly and authoritative guide will take your comprehension of the subject from micro to macro in no time! Cutting through confusing jargon and complemented with tons of step-by-step instructions and explanations, it helps you discover how real individuals and businesses use microeconomics to analyze trends from the bottom up in order to make smart decisions. Snagging a job as an economist is fiercely competitive—and highly lucrative. Having microeconomics under your belt as you work toward completing your degree will put you head and shoulders above the competition and set you on the course for career advancement once you land a job. So what are you waiting for? Analyze small-scale market mechanisms Determine the elasticity of products within the market systems Decide upon an efficient way to allocate goods and services Score higher in your microeconomics class Everything you need to make microeconomics your minion is a page away!
Author: Daniel F. Spulber
Publisher: Cambridge University Press
ISBN: 9780521659789
Category : Business & Economics
Languages : en
Pages : 412
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Book Description
Professor Spulber demonstrates how the intermediation theory of the firm explains firm formation by showing why firms arise in a market equilibrium with costly transactions. In addition, the theory helps explain how markets work by.
Author: Bruno Biais
Publisher: Oxford University Press, USA
ISBN: 9780199243211
Category : Business & Economics
Languages : en
Pages : 388
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Book Description
This text reflects research by European scholars into financial economics. Topics include asset pricing in perfect markets, take-over bids, and the interplay between banks and financial markets.
