Asymmetric Asset Price Reaction to News and Arbitrage Risk

10.1002/rbf.2 ◽  
2009 ◽  
Vol 1 (1/2) ◽  
pp. 23-43 ◽  
Author(s):  
John A. Doukas ◽  
Meng Li
Keyword(s):  
Asset Price ◽  
Price Reaction ◽  
Arbitrage Risk

Asymmetric Asset Price Reaction to News and Arbitrage Risk

2009 ◽  
Vol 1 (1/2) ◽  
pp. 23-43 ◽  
Author(s):  
John A. Doukas ◽  
Meng Li
Keyword(s):  
Asset Price ◽  
Price Reaction ◽  
Arbitrage Risk

Asymmetric Asset Price Reaction to News and Arbitrage Risk

10.1002/rbf.7 ◽  
2010 ◽  
Vol 2 (1) ◽  
pp. 19-36
Author(s):  
John A. Doukas ◽  
Meng Li
Keyword(s):  
Asset Price ◽  
Price Reaction ◽  
Arbitrage Risk

Stock price reaction to cash dividend announcements in Vietnam

2017 ◽  
Vol 24 (2) ◽  
pp. 74-89
Author(s):  
NGUYEN THI VAN ANH ◽  
NGUYEN XUAN TRUONG ◽  
DAO MAI HUONG
Keyword(s):  
Stock Price ◽  
Cash Dividend ◽  
Price Reaction ◽  
Dividend Announcements ◽  
Stock Price Reaction

The Micro and Macro of Managerial Beliefs

2020 ◽  
Author(s):  
Jose Maria Barrero
Keyword(s):  
Rational Expectations ◽  
Asset Price ◽  
Heterogeneous Firms ◽  
Adjustment Costs ◽  
Consumer Welfare ◽  
Sales Growth ◽  
Firm Level ◽  
Managerial Decisions ◽  
Managerial Beliefs ◽  
Growth Volatility

This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not over-optimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise (overconfident): they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quantify the implications of these facts, I estimate a dynamic general equilibrium model in which managers of heterogeneous firms use a subjective beliefs process to make forward-looking hiring decisions. Overprecision and overextrapolation lead managers to overreact to firm-level shocks and overspend on adjustment costs, destroying 2.1 percent of the typical firm’s value. Pervasive overreaction leads to excess volatility and reallocation, lowering consumer welfare by 0.5 to 2.3 percent relative to the rational expectations equilibrium. These findings suggest overreaction may amplify asset-price and business cycle fluctuations.

Fifty years of UK asset price volatility

2000 ◽  
Vol 2 (3) ◽  
pp. 63-77 ◽  
Author(s):  
Nicola Anderson ◽  
Francis Breedon
Keyword(s):  
Asset Price ◽  
Price Volatility

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact
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