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Author: Suk-Joon Byun Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We construct a general equilibrium “disagreement with herding” model to identify the joint effect of the disagreement and herding among investors on the price bubble and excess return volatility. There are two classes of analysts one of which can capture the information in the public signal. An another analyst, on the other hand, do not have an enough ability to refine the public signal to exploit the information and therefore herd. i.e. tend to revise his opinion by moving toward the other's opinion. As a consequence of the combinational dynamics of the disagreement and herding, the price bubble and the excess volatility is exaggerated especially when they are both huge.
Author: Suk-Joon Byun Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We construct a general equilibrium “disagreement with herding” model to identify the joint effect of the disagreement and herding among investors on the price bubble and excess return volatility. There are two classes of analysts one of which can capture the information in the public signal. An another analyst, on the other hand, do not have an enough ability to refine the public signal to exploit the information and therefore herd. i.e. tend to revise his opinion by moving toward the other's opinion. As a consequence of the combinational dynamics of the disagreement and herding, the price bubble and the excess volatility is exaggerated especially when they are both huge.
Author: Thorsten Hens Publisher: Elsevier ISBN: 0080921434 Category : Business & Economics Languages : en Pages : 607
Book Description
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Douglas M. Patterson Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
This paper tests for the presence of herding on the New York Stock Exchange (NYSE). We measure the degree of herding from 1998-2001, the “bubble” period and its collapse. We estimate the incidence of herding by applying a test of serial independence in the observed interarrival times of trades. Our first and the most important finding is that the NYSE appears to function efficiently for the most part. However, the market does show some evidence of systemic herding. Second, the herding tends to be confined to larger stocks. Third, we find a weak negative relationship between dispersion of opinion among investors and herding measures. A noteworthy aspect of the analysis is that the data is analyzed using two different herding tests, and the results of the tests are compared using the Cochran-Mantel-Haenszel test for repeated tests of independence.
Author: Paul Ormerod Publisher: London Publishing Partnership ISBN: 0255367562 Category : Business & Economics Languages : en Pages : 225
Book Description
Economists and economics have been harshly criticised recently. This book accepts many of the criticisms of conventional theory but argues that the fundamental insights of economics are capable of reinterpretation and reinvention to deal with a host of contemporary concerns – social networks, globalisation, pay inequality, climate change, automation and the growth of ‘nudge’ policy amongst many others. The author uses his weekly column in the London business newspaper City A.M. to explain new developments in economic thinking and empirical research to a general audience. This book reproduces many of his most provocative columns with accompanying commentary and full references. The author’s witty and informed analysis of events provides an ideal introduction to important ideas for anybody interested in how the modern economy works.
Author: Matthias Kalkuhl Publisher: Springer ISBN: 3319282018 Category : Business & Economics Languages : en Pages : 620
Book Description
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author: Mrs.Anne Jansen Publisher: International Monetary Fund ISBN: 9781557757364 Category : Business & Economics Languages : en Pages : 92
Book Description
Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.
Author: Robert A. Haugen Publisher: Pearson ISBN: Category : Business & Economics Languages : en Pages : 170
Book Description
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author: Suk-Joon Byun
Author: Suk-Joon Byun
Author: Sushil Bikhchandani
Author: Thorsten Hens
Author: Noemi Schmitt
Author: Greg N. Gregoriou
Author: Douglas M. Patterson
Author: Paul Ormerod
Author: Matthias Kalkuhl
Author: Mrs.Anne Jansen
Author: Robert A. Haugen