206 research outputs found
Publication data for Stochastic Interest Rates, Heterogeneous Valuations, and the Volatility-Volume Relation with Search Frictions
No full textThe zip file contains programs and data for the pape
Three Essays in Asset Pricing and Investment
No full textPh.D.The first essay documents that when Treasury securities go “off the run,” search frictions heighten and matching trades becomes more difficult. This event allows us to isolate the effects of search frictions on market quality and asset pricing. Price impact and the sensitivity of bid-ask spreads to trade size are significantly higher for off-the-runs, which are difficult to explain using models of asymmetric information. High search frictions result in sluggish price adjustment to new information and low informativeness of trades, leading to poor price discovery. Despite these adverse effects on market quality, we find no evidence that search frictions cause segmentation in the Treasury market. The second essay investigates the role of style-investing in bond price formation and trading processes. Using a unique dataset from Moody’s rating re-calibration, we find that changes in rating labels have power impacts not only on comovement in bond prices but also volatility, liquidity, and trading. Comovements are magnified by interdealer trading to balance inventories and institutional trading to reach for yields. Importantly, rating-style investing induces return predictability in municipal bonds and cross-market comovement with corporate bonds. There is strong evidence that rating-style investing drives these results through correlated trading, and that the effects increase with behavioral biases and trading frictions. The third essay employs a regression-based approach for combining analyst forecasts to obtain optimal forecasts. We find that this approach produces substantially better earnings forecasts than consensus forecast and other conventional methods. Forecasting gain increases with dispersion and biasedness of analyst forecasts and under/overreactions to earnings news. Regression-based combination forecasts consistently outperform consensus forecasts by significant margins over time and across different types of firms and sectors. Using the regressed combination forecast generates larger earnings response coefficients and reduces the anomaly of post-earnings-announcement drift. Results strongly suggest that the regressed combination of analyst forecasts provides a better proxy for expected earnings
Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data
Get PDFWe analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of the five-minute tick intraday price data from the mid-2003 to the early 2005 for stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any of the stock index pairs or for any of the extended specifications. There are signs of short-term spillover effects both in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short-term relationships between the stock markets. In general, it appears that spillover effects are stronger from volatility to volatility than contagion effects from return to return series.contagion and spillover effects, market integration, European emerging markets, intra-day data
[[alternative]]The Success Rate of Young Elite Badminton Players of Anticipating Overhead Backhand Shots of Different Skill Leveled Opponents
No full text[[abstract]]This research is to examine the accuracy of anticipation of points of landing of an overhead backhand shot based on visual pre-cues of different stages of the shot motion given to the player, and furthermore discover the crucial cues of different overhead backhand shots. The subjects of this research(N=52) are young elite athletes of the age of 16.5±1.20. With three female athletes with different skill levels of professional training to provide the footage of a series of overhead backhand shots. With the use of a digital video camera and post production to produce three stages of visual pre-cueing and a total of 180 shots to use in a temporal occlusion paradigm. The subjects are to decide on the landing point within three seconds of viewing the images. The rate of accurate identification was calculated using paired T-test as the method of statistical analysis, and showed a clear level of 0.5.
The results show:
1.Through the different stages and increase of visual pre-cues, the success rate of identifying landing points of the high level and low level athlete greatly increased. The difference in successful identification rates of the 3 stages of motion all achieve clear level.
2.In stage one of visual pre-cueing, the difference in success rate of identifying landing points did not achieve a clear level and were close to identical among the three skill levels. In stage 2, the success rate of identifying landing points between high skilled athlete and middle skilled athlete were clearly different. In stage 3 of visual pre-cues, all three skill levels had different success rates of identifying landing points.
3.The difference in success rates of identifying landing points between high skilled and middle skilled athletes were only similar for straight drop shot and cross-court drop shot, all other shots achieved a clear level of difference. The prediction of the four shots of the low skilled level athlete all achieved a clear level of difference.
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