Accounting-Based Value Metrics and the Informational Efficiency of IPO Early Market Prices

2002 ◽  
Author(s):  
Michelle Yetman
Keyword(s):  
Informational Efficiency ◽  
Market Prices ◽  
Early Market

scholarly journals How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing

2010 ◽  
Vol 45 (2) ◽  
pp. 441-471 ◽  
Author(s):  
Björn Bartling ◽  
Andreas Park
Keyword(s):  
Theoretical Model ◽  
Initial Public Offering ◽  
Informational Efficiency ◽  
Short Sales ◽  
Market Prices ◽  
Standard Practice ◽  
Public Offering ◽  
A Company

AbstractWhen a company goes public, it is standard practice that the underwriting syndicate allocates more shares than are issued. The underwriter thus holds a short position that it commonly fills by aftermarket trading when market prices fall or, when prices rise, by executing the so-called overallotment option. This option is a standard feature of initial public offering (IPO) arrangements that allows the underwriter to purchase more shares from the issuer at the original offer price. We propose a theoretical model to study the implications of this combination of short position and overallotment option on the pricing of the IPO. Maximizing the sum of both the profits from their share of the offer revenue and the potential profits from aftermarket trading, we show that underwriters strategically distort the offer price. This results either in exacerbated underpricing when favorably informed underwriters lower prices to secure a signaling benefit, or in informationally inefficient offer prices when underwriters pool in offer prices irrespective of their information.

scholarly journals SEMI-STRONG FORM EFFICIENCY OF GOLD MARKET: COLLECTIVE RATIONALISATION AND ISLAMIC CALENDAR ANOMALY

2021 ◽  
Vol 9 (2) ◽  
pp. 293-313
Author(s):  
Taqadus Bashir ◽  
Misbah Wadood ◽  
Ammara Mujtaba ◽  
Hira Idrees ◽  
Ammara Toqeer ◽  
...  
Keyword(s):  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
Asset Market ◽  
Extensive Literature ◽  
Informational Efficiency ◽  
Market Prices ◽  
Gold Market ◽  
The Impact ◽  
Robustness Check

Purpose: The current study aimed to test the impact of two religious months on the return behaviour of the gold market in Pakistan under informational efficiency hypothesis i.e. to empirically test the semi-strong form of EMH in gold market for religious calendar anomaly. Methodology: Weekly gold prices in rupees per one gram that prevailed in Pakistan for the period January 2007 till December 2015 were selected, summing up to 468 observations. Data was taken from World Gold Council and the Bullion-rate database. Event methodology was employed for capturing and analyzing the pre and post event reactions by calculating abnormal returns. Furthermore, average security return variability was employed for robustness check.  Main Findings: Opposing results were achieved for both the lunar calendar occurrences where the gold market is inefficient for the month of Ramazan but is found efficient in Muharram's case concluding into mixed evidence and findings. Implications/Applications: The contribution of this study differs from previous gold studies in two aspects; first the research investigated the effect of Ramazan and Muharram as Islamic calendar events, and second is that gold market prices of Pakistan that had not been examined earlier. So this study is adding to the literature in the sense of examining the new relationship in Pakistan. Novelty/Originality of this study: Extensive literature can be found about the global gold market that tested the weak form efficiency, but empirical evidence related to the semi-strong form efficiency of the gold market in Pakistan is not available neither the calendar anomaly related to the gold market is available. The dynamics of this very highly valuable and volatile asset market require investigation of such type.

How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

2020 ◽  
Author(s):  
Lionel Page ◽  
Christoph Siemroth
Keyword(s):  
Financial Market ◽  
Private Information ◽  
Public Information ◽  
Asset Markets ◽  
Informational Content ◽  
Financial Asset ◽  
Informational Efficiency ◽  
Market Prices ◽  
Market Experiments ◽  
Do So

Abstract We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information—less than 50%—is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

Do Short Sellers Trade on Private Information or False Information?

2018 ◽  
Vol 53 (3) ◽  
pp. 997-1023 ◽  
Author(s):  
Amiyatosh Purnanandam ◽  
H. Nejat Seyhun
Keyword(s):  
Stock Returns ◽  
Insider Trading ◽  
Private Information ◽  
Short Selling ◽  
Informational Efficiency ◽  
False Information ◽  
Market Prices ◽  
Short Sellers ◽  
Additional Information ◽  
Trading Activities

We investigate whether short sellers contribute toward the informational efficiency of market prices by trading on their private information or destabilize market prices by trading on rumors and false information. We find that short-selling activities are considerably informative about future stock returns when there is a higher likelihood of private information in stocks, as measured by insider-trading activities. Short sellers also bring considerable additional information to the market that is not fully captured by contemporaneous insider trading. Overall, these results suggest that on average, short sellers bring informational efficiency to market prices rather than destabilize them.

THE ENTROPIC MARKET HYPOTHESIS

1999 ◽  
Vol 02 (03) ◽  
pp. 293-329 ◽  
Author(s):  
LES GULKO
Keyword(s):  
Efficient Market Hypothesis ◽  
Stock Option ◽  
Market Model ◽  
Informational Efficiency ◽  
Arbitrage Pricing Theory ◽  
Market Prices ◽  
Entropy Maximization ◽  
No Arbitrage ◽  
Option Pricing Model ◽  
Electrical Engineers

Information theory teaches that entropy is the fundamental limit for data compression, and electrical engineers routinely use entropy as a criterion for efficient storage and transmission of information. Since modern financial theory teaches that competitive market prices store and transmit information with some efficiency, should financial economists be concerned with entropy? This paper presents a market model in which entropy emerges endogenously as a condition for the operational efficiency of price discovery while entropy maximization emerges as a condition for the informational efficiency of market prices. The maximum-entropy formalism makes the efficient market hypothesis operational and testable. This formalism is used to establish that entropic markets admit no arbitrage and support both the Ross arbitrage pricing theory and the Black–Scholes stock option pricing model.

Prediction Markets: Prognosemärkte in Praxis und Theorie

2008 ◽  
Vol 59 (1) ◽  
Author(s):  
Marian Berneburg
Keyword(s):  
Present Article ◽  
Predictive Accuracy ◽  
Prediction Markets ◽  
Informational Efficiency ◽  
Market Prices ◽  
Additional Tool ◽  
Empirical Basis ◽  
High Degree ◽  
Economic Forecasts

SummaryA common joke among economist is: Why has god created meteorologists? To make the forecasts of economist look less bad! At the heart of this joke stands the critique that economic forecasts are notoriously inaccurate. Prediction Markets are an attempt to improve these forecasts by aggregating the knowledge of many.The present article takes a closer look at these Prediction Markets. By analyzing the existing literature in terms of the relevant theoretical as well as empirical basis, it is shown that an adapted version of the model by Kyle (1985) with noise and insider traders is able to explain the high degree of predictive accuracy, i. e. informational efficiency, of prediction markets. At the same time such a model is able to cope with the Grossman-Stiglitz Paradox (1976) or the No-Trade Theorem (Milgrom & Stokey, 1982), both are common theoretical arguments against informational efficiency. This allows the interpretation of market prices as event probabilities.Even though some empirical artefacts (e. g. the favorite-longshot bias) exist and more research, especially in terms of prediction markets covering economic events, is needed, the overall verdict on these forecasting tools has to be that they are roughly semi-strong efficient. They hence provide an interesting, very accurate and additional tool in forecasting.

Analisis Rantai Nilai Komoditas Cabai Merah

2019 ◽  
Vol 2 (1) ◽  
pp. 336-346
Author(s):  
Dhamon Oridilla B
Keyword(s):  
Distribution Pattern ◽  
Distribution Patterns ◽  
Added Value ◽  
Commodity Chain ◽  
Market Prices ◽  
Data Analyst ◽  
Bargaining Position ◽  
Agricultural Business ◽  
The Government ◽  
Red Peppers

Candi Village in Bandungan District is one of the Chili Supply Sub-district for Semarang Regency and surrounding area has agro-climate suitable for the development of various agricultural commodities supported by wide market opportunity, so it is suitable for agricultural business development. The purpose of this research is to identify the distribution pattern of red pepper, to know each value of commodity chains and distribution, to design alternative distribution pattern of red pepper.Population in this research is 88 respondents from 735 of member of chilli farmer in Desa Candi with total area of 150,3 hectare consisting of rice field, moor and yard. Methods of data analyst using quantitative approach is done by using Margin Marketing Analysis. The results include: (1) The pattern of distribution of existing farming business grows naturally in accordance with the developments and needs of the perpetrators, the actors in this pattern are farmers, wholesalers, collectors, wholesalers, retailers, consumers. (2) The value of the red chili commodity chain in this naturally grown pattern often makes pricing more dominant by traders, so farmers receive prices slightly lower than market prices. (3) Some obstacles faced in distributing red peppers are the difficulty of changing the mindset of the community about advanced farming, this is best utilized by market participants (chain of distribution) who are more informed and always keep abreast of market dynamics. Conventional marketing pattern by farmer cause price level accepted by farmer in general relatively smaller compared to price received by trader. Suggestions shorten the chain of distribution patterns, increase the added value of products and improve the bargaining position of farmers and for the government always guide / accompany farmers in getting accurate market information, which can be used as farmers in bargaining, Increased market transparency can act as a trigger for the functioning of a market, improved competition and increased adaptation to meet the needs of supply and opportunity to compete with market prices. Desa Candi di Kabupaten Bandungan adalah salah satu Kecamatan Penyedia Cabai untuk Kabupaten Semarang dan sekitarnya memiliki agroklimat yang cocok untuk pengembangan berbagai komoditas pertanian yang didukung oleh peluang pasar yang luas, sehingga sangat cocok untuk pengembangan bisnis pertanian. Tujuan dari penelitian ini adalah untuk mengidentifikasi pola distribusi cabai merah, untuk mengetahui masing-masing nilai rantai komoditas dan distribusi, untuk merancang alternatif pola distribusi cabai merah. Populasi dalam penelitian ini adalah 88 responden dari 735 anggota petani cabai di Desa Candi dengan total luas 150,3 hektar yang terdiri dari sawah, tegalan dan pekarangan. Metode analis data menggunakan pendekatan kuantitatif dilakukan dengan menggunakan Analisis Pemasaran Margin. Hasil meliputi: (1) Pola distribusi usaha pertanian yang ada tumbuh secara alami sesuai dengan perkembangan dan kebutuhan pelaku, pelaku dalam pola ini adalah petani, pedagang besar, pengumpul, pedagang besar, pedagang besar, pengecer, konsumen. (2) Nilai rantai komoditas cabai merah dalam pola yang dikembangkan secara alami ini sering membuat penetapan harga lebih dominan oleh para pedagang, sehingga petani menerima harga yang sedikit lebih rendah daripada harga pasar. (3) Beberapa kendala yang dihadapi dalam mendistribusikan paprika merah adalah sulitnya mengubah pola pikir masyarakat tentang pertanian maju, hal ini paling baik digunakan oleh pelaku pasar (rantai distribusi) yang lebih banyak informasi dan selalu mengikuti perkembangan dinamika pasar. Pola pemasaran konvensional oleh petani menyebabkan tingkat harga yang diterima petani pada umumnya relatif lebih kecil dibandingkan dengan harga yang diterima pedagang. Saran mempersingkat rantai pola distribusi, meningkatkan nilai tambah produk dan meningkatkan posisi tawar petani dan bagi pemerintah selalu membimbing / menemani petani dalam mendapatkan informasi pasar yang akurat, yang dapat digunakan sebagai petani dalam tawar-menawar, Peningkatan transparansi pasar dapat bertindak sebagai pemicu berfungsinya pasar, meningkatnya kompetisi dan peningkatan adaptasi untuk memenuhi kebutuhan pasokan dan peluang untuk bersaing dengan harga pasar.

Solar Renewable Energy Credit Price Volatility and Investment Returns: Have Policies Stranded Capital Investment?

Commonwealth ◽  
2017 ◽  
Vol 19 (1) ◽  
Author(s):  
Somayeh Youssefi ◽  
Patrick L. Gurian
Keyword(s):  
Solar Energy ◽  
Capital Investment ◽  
Supply And Demand ◽  
Price Volatility ◽  
The United States ◽  
Investment Model ◽  
Capital Investments ◽  
Demand Model ◽  
Market Prices ◽  
Investment Returns

Pennsylvania is one of a number of U.S. states that provide incentives for the generation of electricity by solar energy through Solar Renewal Energy Credits (SRECs). This article develops a return on investment model for solar energy generation in the PJM (mid-­Atlantic) region of the United States. Model results indicate that SREC values of roughly $150 are needed for residential scale systems to break even over a 25-­year project period at 3% interest. Market prices for SRECs in Pennsylvania have been well below this range from late 2011 through the first half of 2016, indicating that previous capital investments in solar generation have been stranded as a result of steep declines in the value of SRECs. A simple conceptual supply and demand model is developed to explain the sharp decline in market prices for SRECs. Also discussed is a possible policy remedy that would add unsold SRECs in a given year to the SREC quota for the subsequent year.

Using Market Prices to Guide Sector Rotation

1997 ◽  
Vol 1997 (2) ◽  
pp. 48-57
Author(s):  
Richard M. Salsman
Keyword(s):  
Market Prices ◽  
Sector Rotation
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