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Displaying results 1 to 10 of 10.

  1. Why did sponsor banks rescue their SIVs?
    Author: Segura, Anatoli
    Published: [2017]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450 (1100)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1100 (February 2017)
    Subjects: reputation risk; rescues; mispricing; implicit support; shadow banking system
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. The Real Effects of Sentiment and Uncertainty
    Author: Birru, Justin; Young, Trevor
    Published: [2023]
    Publisher:  SSRN, [S.l.]

    The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A one-standard-deviation increase in uncertainty more than doubles the effect of sentiment on investment. Moreover, allowing uncertainty-dependent sentiment effects substantially increases explanatory power (i.e., R2). Our results are robust to many sentiment, uncertainty, and investment measures. We also document similar effects for aggregate equity issuance. Consistent with theory, we find even stronger results in the cross-section of valuation uncertainty. The evidence suggests that the importance of sentiment for corporate decisions varies over time and depends crucially on the underlying level of market uncertainty

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Fisher College of Business Working Paper ; No. 2023-03-011
    Subjects: sentiment; uncertainty; corporate investment; equity issuance; mispricing; behavioral finance
    Other subjects: Array
    Scope: 1 Online-Ressource (51 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 13, 2023 erstellt
  3. Mispricing and risk premia in currency markets
    Author: Bartram, Söhnke M.; Djuranovik, Leslie; Garratt, Anthony; Xu, Yan
    Published: 31 October 2023
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18563
    Subjects: Predictors; anomalies; mispricing; analysts; market efficiency; real-time; point-in-time; arbitrage costs; IPCA; instrumented principal components analysis
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  4. Mispricing in inflation markets
    Author: Barria, Rodrigo; Pinter, Gabor
    Published: [2023]
    Publisher:  Bank of England, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1034 (August 2023)
    Subjects: Bond markets; inflation swaps; mispricing; arbitrage; pension funds
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  5. Using social media to identify market inefficiencies
    evidence from twitter and betfair
    Author: Brown, Alasdair; Rambaccussing, Dooruj; Reade, J. James; Rossi, Giambattista
    Published: 2016
    Publisher:  Department of Economics, University of Reading, Reading, United Kingdom

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / University of Reading, Department of Economics ; no. 118
    Subjects: social media; prediction markets; fundamentals; sentiment; mispricing
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. Why did sponsor banks rescue their sivs?
    a signaling model of rescues
    Author: Segura, Anatoli
    Published: 2014
    Publisher:  CEMFI, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEMFI working paper ; 1402
    Subjects: Reputation risk; rescues; mispricing; implicit support; shadow banking system
    Scope: Online-Ressource (47 S.), graph. Darst.
  7. Corporate transactions in hard-to-value stocks
    Author: Ben-David, Itzhak; Kim, Byungwook; Moussawi, Hala; Roulstone, Darren
    Published: November 16, 2021
    Publisher:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]

    Hard-to-value stocks provide opportunities for managers to exploit their informational advantage through trading on their firms' and their own personal accounts. In contrast to the prediction that such transactions reflect private information about... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hard-to-value stocks provide opportunities for managers to exploit their informational advantage through trading on their firms' and their own personal accounts. In contrast to the prediction that such transactions reflect private information about future events, they are contrarian and heavily depend on past returns. Corporate transactions in hard-to-value stocks outperform those in easy-to-value stocks in the early part of our sample, but this difference disappears after 2002, coinciding with a general decline in the profitability of stock market anomalies. Our evidence is consistent with managers' perception of mispricing, rather than private information, being a key motivator of their transactions

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2021, 16
    Fisher College of Business working paper series ; WP 2021-03, 16
    Subjects: insiders; repurchases; seasoned equity offerings; private information; mispricing
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  8. The economics of sustainability linked bonds
    Author: Berrada, Tony; Engelhardt, Leonie; Gibson, Rajna; Krüger, Philipp
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    We develop a conceptual framework to understand the incentive structure and pricing mechanisms of Sustainability-Linked-Bonds (SLBs). The model allows us to characterize the conditions under which an SLB is incentive compatible for a firm. We further... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 544
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    We develop a conceptual framework to understand the incentive structure and pricing mechanisms of Sustainability-Linked-Bonds (SLBs). The model allows us to characterize the conditions under which an SLB is incentive compatible for a firm. We further derive a novel measure which identifies the extent of mispricing and potential wealth transfers between claim-holders at issuance. The model also allows us to compare the correct market yield of SLBs to the standard yield quoted by the industry. The comparison of the two yields suggests that the industry generally overstates the yield discount for firms that issue SLBs. The model generates several testable predictions. For instance, we provide evidence that SLBs which are overpriced according to our measure experience negative returns in the secondary market after issuance. We further show that for these overpriced bonds, the stock price reaction at issuance is significantly positive, which is consistent with a wealth transfer from bond - to shareholders Finally, we document a significant relationship between the mispricing measure and the issuing firms’ ESG ratings, a relationship that is complex and non-linear

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 22, 26
    ECGI working paper series in finance ; no 820 (March 2022)
    Subjects: ESG investing; sustainability linked bonds; security design; managerial incentives; mispricing
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  9. Asset holdings, information aggregation in secondary markets and credit cycles
    Author: Basso, Henrique S.
    Published: 2022
    Publisher:  Banco de España, Madrid

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 470
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2214
    Subjects: information revelation; credit markets; mark-to-market; mispricing; bank compensation
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  10. A model of financial bubbles and drawdowns with non-local behavioral self-referencing
    Author: Malevergne, Yannick; Sornette, Didier; Wei, Ran
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 544
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    We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability judgment" about the likelihood of a crash as a function of the self-referential mispricing, enabling us to disentangle the risk-return relationship from its instantaneous connection. By describing drawdowns and crashes as market regimes with correlated negative jumps clustering over a finite period of time, our model provides a solution to the problem plaguing most crash jump models, which are in general rejected in calibrations of real financial time series because they assume that crashes occur in a single large negative jump, which is counterfactual. The model estimation is implemented on synthetic time series and real markets, shedding light on the estimation of the "true" expected return, which is usually confounded by the entanglement between volatility and jump risks. Estimated from the daily time series of three stock indexes, the hidden expected return exhibits a secular increase over time and tends to be larger than the realized return, suggesting that financial markets have been overall underpriced

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 96
    Subjects: financial markets; bubbles; mispricing; faster-than-exponential growth; drawdowns; crashes; behavioral price anchoring; expected return
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen