CROSS-SECTIONS OF THE INFORMATIONAL EFFICIENCY OF ASSET PRICE PDF Download
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Author: Jing Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Book Description
The informational efficiency of asset price varies across individual stock according to stock attributes. We find the informational efficiency is higher for stocks with better liquidity provision, frequent trading, higher prices, larger market capitalizations, and smaller trade sizes than in other ones. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances informational efficiency. Informational efficiency also varies with information environment. We find that stocks with greater information-based trading exhibit higher level of efficiency. The empirical results indicate less concentrated institutional holdings and sound corporate governance structure enhance market efficiency. Lastly, market structure influences informational efficiency. NYSE stocks achieve higher level of efficiency than NASDAQ stocks do. Informational efficiency improves after decimalization in both markets. Our results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that liquidity provision, stock attributes, market structure, and informational environment exert a significant impact on the realization of informational efficiency.
Author: Jing Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
Get Book Here
Book Description
The informational efficiency of asset price varies across individual stock according to stock attributes. We find the informational efficiency is higher for stocks with better liquidity provision, frequent trading, higher prices, larger market capitalizations, and smaller trade sizes than in other ones. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances informational efficiency. Informational efficiency also varies with information environment. We find that stocks with greater information-based trading exhibit higher level of efficiency. The empirical results indicate less concentrated institutional holdings and sound corporate governance structure enhance market efficiency. Lastly, market structure influences informational efficiency. NYSE stocks achieve higher level of efficiency than NASDAQ stocks do. Informational efficiency improves after decimalization in both markets. Our results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that liquidity provision, stock attributes, market structure, and informational environment exert a significant impact on the realization of informational efficiency.
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: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: John H. Cochrane
Publisher: Princeton University Press
ISBN: 1400829135
Category : Business & Economics
Languages : en
Pages : 560
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Book Description
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author: Qaiser Munir
Publisher: Taylor & Francis
ISBN: 1317270304
Category : Business & Economics
Languages : en
Pages : 272
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Book Description
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Author: Radu Burlacu
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
We derive a cross-sectional asset pricing measure from a noisy multi-asset rational expectations equilibrium model. The measure is based on the time-series covariance of an asset's returns and security prices. Empirically, stocks with a measure one standard deviation above and below the average have returns that differ by 0.36% the following month (4.44% per annum) which is statistically significant at the 1%-level. Results remain significant after including variables such as stock market capitalization, book-to-market ratio, and the probability of information-based trading. Our measure can be understood as a proxy for information risk and/or supply uncertainty. We show the two explanations are theoretically intertwined.
Author: G. Constantinides
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
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Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123
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Book Description
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author: Tuğrul U. Daim
Publisher: Springer Nature
ISBN: 3030505022
Category : Business & Economics
Languages : en
Pages : 765
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Book Description
This volume presents a portfolio of cases and applications on technology roadmapping (TRM) for products and services. It provides a brief overview on criteria or metrics used for evaluating the success level of TRM and then offers six case examples from sectors such as transportation, smart technologies and household electronics. A new innovation in this book is a section of detailed technology roadmap samples that technology managers can apply to emerging technologies.
Author: Badi H. Baltagi
Publisher: Emerald Group Publishing
ISBN: 1800716958
Category : Business & Economics
Languages : en
Pages : 143
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Book Description
The Economics of COVID-19 contains selected contributions analysing the effects of the global pandemic on macroeconomics, computable general equilibrium models and financial markets, as well as health studies proposing to improve the traditional epidemic models.
