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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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International Review of Financial Analysis, 2012
Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Cotton Price Discovery and Pricing Efficiency
1979Market Information and Price Reporting in the Food and Agricultural Sector, May 24-25, 1979, Madison ...
Sporleder, Thomas L. +1 more
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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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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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Price Discovery in Crude Oil Prices
SSRN Electronic Journal, 2011I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more responsive to a common trend shock.
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Price Movements and Price Discovery in Futures and Cash Markets
The Review of Economics and Statistics, 1983R ISK transfer and price discovery are two of the major contributions of futures markets to the organization of economic activity (Working (1962), Evans (1978, p. 80), and Silber (1981)). Risk transfer refers to hedgers using futures contracts to shift price risk to others.
Garbade, Kenneth D, Silber, William L
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Price Discovery in Equity and CDS Markets
SSRN Electronic Journal, 2016Information and component shares metrics are used to study the price discovery contributions of equity and credit default swap (CDS) markets for North American firms with intraday data. While the discovery metrics are generally not significantly different from 50% for each market, the CDS market’s contribution always increases strongly and ...
Lawrence Kryzanowski +2 more
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Price Discovery in the Treasury Futures Market
SSRN Electronic Journal, 2006AbstractThe paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S.
Michael W. Brandt +2 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 ...
openaire +1 more source