Results 261 to 270 of about 770,462 (312)
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Price discovery and asset pricing
Pacific-Basin Finance Journal, 2016This paper tests the hypothesis that price discovery influences asset pricing. Our innovations are twofold. First, we estimate time-varying price discovery for a large number (21) of Islamic stock portfolios. Second, we test using a predictive regression model whether or not price discovery predicts stock excess returns. We find from both in-sample and
Paresh Kumar Narayan +3 more
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Price discovery in the aluminum market [PDF]
Journal of Futures Markets, 2005 An extended version of the S. Beveridge and C. R. Nelson (1981) decomposition and a latent variable approach are used to examine how the noise content, and therefore the informativeness, of four aluminum prices that have been quoted at various times since 1970 the (now defunct) U.S.
Figuerola Ferretti Garrigues, Isabel Catalina +1 more
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Review of Quantitative Finance and Accounting, 1996
This article analyzes the dynamic process of price discovery in a competitive securities market where investors are equally informed about the fundamental determinants of an asset's end-of-period value but, because they do not know each other's wealth positions, do not know the equilibrium price of shares at the start of a current trading session ...
Puneet Handa, RobertA. Schwartz
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This article analyzes the dynamic process of price discovery in a competitive securities market where investors are equally informed about the fundamental determinants of an asset's end-of-period value but, because they do not know each other's wealth positions, do not know the equilibrium price of shares at the start of a current trading session ...
Puneet Handa, RobertA. Schwartz
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Relative Spread and Price Discovery
SSRN Electronic Journal, 2016We establish the importance of relative minimum price increments for price discovery in the context of a single asset trading at diverse venues. Our model relates relative spreads to directed information flows and begets a set of testable implications.
Eric M. Aldrich, Seung Lee
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Interdealer Inference and Price Discovery
SSRN Electronic Journal, 2006AbstractFutures floor dealers are investigated in terms of their joint product of price discovery. A vector error correction model is estimated using floor trader proprietary prices, examining the resulting information shares and common factor components.
Tzu‐man Huang, Peter Locke
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Price Discovery through Options
SSRN Electronic Journal, 2014How does private information get incorporated into option prices? To study this question, I develop a non-linear, noisy rational expectations equilibrium model with asymmetric information and a full menu of call and put options available for trading. The model allows for an arbitrary distribution of the underlying payoff and general trader preferences.
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SSRN Electronic Journal, 2020
We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private information regarding arbitrary higher moments of asset return, such as volatility or skewness, and exploits her private information by trading a complete menu of options ...
Semyon Malamud +2 more
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We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private information regarding arbitrary higher moments of asset return, such as volatility or skewness, and exploits her private information by trading a complete menu of options ...
Semyon Malamud +2 more
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Latency, Liquidity and Price Discovery
SSRN Electronic Journal, 2011Abstract The speed of trading is an important factor in modern security markets, although relatively little is known about the effect of speed on liquidity and price discovery, two important aspects of market quality. On April 23, 2007, Deutsche Boerse made an important upgrade to their trading system.
Riordan, Ryan, Storkenmaier, Andreas
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Price discovery for competing currency numeraires
SSRN Electronic Journal, 2022For many countries, information in FX markets about the fundamentals of their economies is reduced to two relevant and competing channels, namely, their currency's exchange rate with either the euro or the US dollar. In light of this, this paper presents an analysis which can help establishing which one of these two currency numeraires drives the price
Longarela, Iñaki Rodríguez +1 more
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Economic Record, 1992
This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The ...
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This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The ...
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