| 1. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 2. |
- Hjalmarsson, Erik, 1975, et al.
(författare)
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Efficiency in housing markets: Do home buyers know how to discount?
- 2006
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We test for efficiency in the market for Swedish co-ops by examining the negative relationship between the sales price and the present value of future rents. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative should be fully reflected in the sales price. However, we find that, on average, a one hundred kronor increase in the present value of future rents only leads to a 45 to 65 kronor reduction in the sales price; co-ops with higher rents are thus relatively overpriced compared to those with lower rents. Our analysis indicates that pricing tends to be more efficient in areas with higher educated and wealthier buyers. By relying on cross-sectional relationships in the data, our results are less sensitive to transaction costs and other frictions than time-series tests of housing market efficiency.
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| 3. |
- Hjalmarsson, Erik, 1975, et al.
(författare)
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Efficiency in housing markets: Which home buyers know how to discount?
- 2009
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Ingår i: Journal of Banking and Finance. - : Elsevier BV. - 0378-4266. ; 33:11, s. 2150-2163
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Tidskriftsartikel (refereegranskat)abstract
- We test for efficiency in the Swedish co-op market by examining the negative relationship between the sales price and the present value of future monthly payments or 'rents'. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative should be fully reflected in the sales price. However, a one hundred kronor increase in the present value of future rents only leads to an approximately 75 kronor reduction in the sales price. These inefficiencies are larger at the lower end of the housing market and in poorer, less educated regions and appear to reflect both liquidity constraints and the existence of more 'sophisticated' buyers in higher educated areas. Overall, our findings suggest that there is some systematic failure to properly discount the future stream of rent payments relative to the up front sales price.
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| 4. |
- Bakshi, Gurdip, et al.
(författare)
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Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
- 2005
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper derives a measure that characterizes the distance between the risk-neutral and the objective probability measures for any candidate asset pricing model. We formally show that the distance metric is equal to the volatility of the stochastic discount factor. This theoretical result gives an alternative interpretation to the Hansen-Jagannathan bounds: they provide a lower bound for the distance between the objective and the risk-neutral probability measures. Our empirical application provides support for the notion that the crash of 1987 has widened the wedge between the risk-neutral and the objective probability measures.
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| 5. |
- Beechey, Meredith, et al.
(författare)
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Testing the expectations hypothesis when interest rates are near integrated
- 2009
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Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266 .- 1872-6372. ; 33:5, s. 934-943
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Tidskriftsartikel (refereegranskat)abstract
- Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in 10 of the 14 countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia.
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| 6. |
- Benos, Evangelos, et al.
(författare)
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Interactions among High-Frequency Traders
- 2016
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price effciency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information-based and so does not generally contribute to undue price pressure and price dislocations.
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| 7. |
- Benos, Evangelos, et al.
(författare)
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Interactions among High-Frequency Traders
- 2017
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Ingår i: Journal of Financial and Quantitative Analysis. - 0022-1090 .- 1756-6916. ; 52:4, s. 1375-1402
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Tidskriftsartikel (refereegranskat)abstract
- © 2017 Michael G. Foster School of Business, University of Washington. Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.
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| 8. |
- Berger, David, et al.
(författare)
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What drives volatility persistence in the foreign exchange market?
- 2009
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Ingår i: Journal of Financial Economics. - : Elsevier BV. - 0304-405X. ; 94:2, s. 192-213
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Tidskriftsartikel (refereegranskat)abstract
- We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and movements in volatility can therefore be directly related to movements in order flow and market sensitivity. Empirically, the model explains a large share of the long-run variation in volatility. Importantly, the time variation in the market's sensitivity to information is at least as relevant in explaining the persistence of volatility as the rate of information arrival itself. This may be evidence of a link between changes over time in the aggregate behavior of market participants and the time-series properties of realized volatility.
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| 9. |
- Chaboud, A. P., et al.
(författare)
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Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
- 2014
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082. ; 69:5, s. 2045-2084
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Tidskriftsartikel (refereegranskat)abstract
- We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with the view that AT improves informational efficiency by speeding up price discovery, but that it may also impose higher adverse selection costs on slower traders. In contrast, the reduction in the autocorrelation of returns owes more to the algorithmic provision of liquidity. We also find evidence consistent with the strategies of algorithmic traders being highly correlated. This correlation, however, does not appear to cause a degradation in market quality, at least not on average.
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| 10. |
- Chaboud, A., et al.
(författare)
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The evolution of price discovery in an electronic market
- 2021
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Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266. ; 130
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Tidskriftsartikel (refereegranskat)abstract
- We study the evolution of the price discovery process in the euro-dollar and dollar-yen currency pairs over a ten-year period on the EBS platform, a global trading venue used by both manual and automated traders. We find that the importance of market orders decreases sharply over that period, owing mainly to a decline in the information share from manual trading, while the information share of market orders from algorithmic and high-frequency traders remains fairly constant. At the same time, there is a substantial, but gradual, increase in the information share of limit orders. Price discovery also becomes faster, suggesting improvements in market efficiency. The results are consistent with theoretical predictions that with a lower information advantage, informed traders tend to use more limit orders. Published by Elsevier B.V.
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