stock market
The main purpose of the paper is to provide a mathematical background for the theory of bond markets similar to that available for stock markets. We suggest two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions.
We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low-price firms, managers will maintain share prices at lower levels, and vice-versa. Using measures of time-varying catering incentives based on valuation ratios
Trading upon not released, insider, information is an illegal activity. Trading in shares that can be assumed to perform in a similar way based on the same information is legal, and potentially profitable. The goal of this thesis is to investigate if substitutes to listed shares exist on the Stockholm ...
This report demonstrates that so long as the stock market has ideal foresight, some dividends are distributed, and incentives are paid more than once or are deferred, stock-related pay packages are powerful incentives for managers to aid tacit collusive deals in repeated oligopolies. The stock marketplace anticipates the losses from ...
Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more ...
It is often asserted that stock splits and stock dividends are purely cosmetic events. However, many studies have documented several stock market effects associated with stock splits and stock dividends. This paper examines the effects of these two types of events for the Danish stock market. Consistent with the existing ...
In this paper we employ the news aggregator GoogleTM News to demonstrate a strong link between the volatility in the stock market and the amount of news available to market participants. The paper also highlights some other areas, in finance and elsewhere, where news aggregators could be useful. Introduction: In this ...
This paper approximation errors are introduced in a Luca (1978)-type model to reflect model uncertainty. The purpose is twofold. First, the rational investor is allowed to take model uncertainty into account when asset prices are determined. Second, the statistical degeneracy, common to most structural models, is broken and maximum likehood ...
Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main ...
The backdrop of this dissertation is one ubiquitous element of everyday life: the stock market. Traditionally, accounting and stock markets are logically coordinate entities and this thesis analyzes how accounting supports private investors in their role as shareholders – as investors in shares and owners of companies. This analysis is ...