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The Speed of Stock Price Discovery
SSRN Electronic Journal, 2012We develop closed-form expressions for the path and speed of stock price discovery in a utility-based CAPM with wealth effects. Two investors with uniquely bounded risk-preferences always apply opposite portfolio rebalancing trades. These trades determine the intra-period path and speed of price discovery in a Walrasian, tâtonnement setup.
Arieh Gavious, Haim Kedar-Levy
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Quotes, Order Flow, and Price Discovery
The Journal of Finance, 1997ABSTRACTThe goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes.
Blume, Marshall E, Goldstein, Michael A
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How well does the weighted price contribution measure price discovery?
Journal of Economic Dynamics and Control, 2010Abstract The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC in sequential markets. The benchmark used to judge the WPC is the information share (IS) measure based on the variation of the efficient price.
Jian-Xin Wang, Minxian Yang
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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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SSRN Electronic Journal, 2009
According to French and Roll (1986), the three sources of market volatility are public information, private information, and error in estimating the value of public information, which is known as “pricing error”. Even though pricing error can generate a significant amount of stock volatility and cause peculiar patterns of short-term price movement ...
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According to French and Roll (1986), the three sources of market volatility are public information, private information, and error in estimating the value of public information, which is known as “pricing error”. Even though pricing error can generate a significant amount of stock volatility and cause peculiar patterns of short-term price movement ...
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Price discovery under model uncertainty
Energy Economics, 2022Jaeho Kim, Scott C. Linn
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Dynamic price relationships and price discovery among cheese markets
2018The United States (U.S.) cheese sector has been steadily growing throughout the years. Since 1980, U.S. consumers have doubled their annual consumption of cheese, currently at about 37.9 lbs. per capita in 2018 excluding cottage cheese. Cheese varieties are generally classified as American type (Cheddar, Monterey and others), Italian type (Mozzarella ...
Tejeda, Hernan A. +3 more
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Topological materials discovery from crystal symmetry
Nature Reviews Materials, 2021Benjamin J Wieder +2 more
exaly
A guide to comprehensive phosphor discovery for solid-state lighting
Nature Reviews Materials, 2023Shruti Hariyani +2 more
exaly