Download or read book Essays on Information and Linkages in Financial Markets written by Rajesh Chakrabarti and published by . This book was released on 1999 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Linkages Between Financial Markets and Risk Asymmetries written by Jan Antell and published by . This book was released on 2004 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on information and coordination in financial markets written by Christina E. Bannier and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Information in Financial Markets written by Jay Rial Ritter and published by . This book was released on 1981 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Information Frictions and Financial Markets written by Tamás László Bátyi and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Information Diffusion and Stock Markets written by Aaron Paul Burt and published by . This book was released on 2017 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is a compilation of three separate research studies that explore how information diffuses in financial markets. The first chapter examines how non-uniform information diffusion through distinct networks segments U.S. financial markets. Using changes in newspaper ownership networks, I document that a network link between different geographic areas leads to increased comovement of turnover and returns between stocks headquartered in those areas. Consistent with delayed content sharing within a network, the largest increase in comovement is observed using weekly data. I show that the network-driven comovement is not driven by fundamentals and is weaker for large firms with high institutional ownership and decreases over time. I also document that a network link causes price levels of linked stocks to become more similar. My findings show that segmented information networks lead to segmented financial markets with implications for market efficiency, home bias, and the effects of changes in the U.S. media landscape on financial markets. The second chapter shows that investors do not fully monitor the information about directors available in the past prices of firms within the network the directors oversee. A long-short portfolio using this information yields an annual alpha of 6.6%. This predictability is limited to when firms share a director and is not driven by industry or previously identified economic links between firms. The predictability is largest in the long end, when small firms predict big firms, and when information on shared directors is costlier to obtain. Trading by the shared directors is a key mechanism: filtering on their trades increases the annual alpha to 15%. The third chapter studies the econometric properties of a commonly used network-based measure of information diffusion between economically linked firms. Previous studies use this measure to document failures of market efficiency with price discovery requiring up to a year. The measure is constructed as the long-short alpha of portfolios formed sorting on the preceding returns of firms economically linked to portfolio firms. We show that correlated alphas between linked firms bias these measures. Existing studies have monthly biases as large as a factor of two. This bias creates predictability even after price discovery completes. Subtracting the predicted return from the sorting firms' returns removes this bias. Eliminating this bias reveals a more efficient market than previously documented: price discovery takes one month.

Download or read book Three Essays on International Financial Market Linkages written by Eirini Syngelaki and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomics and Financial Markets written by Franziska M. Bremus and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on the Role of Information Flow in Financial Markets written by Volodymyr Zdorovtsov and published by . This book was released on 2004 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Effects of Information in Financial Markets written by David Siu Po Ng and published by . This book was released on 1975 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Information Financial Markets and the International Economy written by Dongpei Huang and published by . This book was released on 1995 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Role of Information in Financial Markets written by Ryan Whitby and published by . This book was released on 2008 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Essays on Financial Market Linkages in Macroeconomics written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Contagion and Linkages of International Financial Markets written by Bo-Yu Chen and published by . This book was released on 2018 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 3 proposed a conditional Granger causality test for finding the crisis propagation patterns across countries. The results are visualized through propagation networks, and it is clear to see the source and destination of the crises. Furthermore, the proposed framework is able to identify the active and key countries in the propagation pathway. In addition, the crisis propagation patterns are found changed a lot in the past two decades.

Download or read book Essays on the Interdependencies and Linkages Between the Real Economy and Financial Markets Interactions of Monetary and Fiscal Policy and Asset Prices in General Equilibrium Models written by Max Ole Liemen and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Information Diffusion and Financial Markets written by Aaron Paul Burt and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Role of Information in Financial Markets written by Ron Guido and published by . This book was released on 2002 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: