排序方式: 共有25条查询结果,搜索用时 15 毫秒
21.
Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data
下载免费PDF全文
![点击此处可从《Review of Financial Economics》网站下载免费的PDF全文](/ch/ext_images/free.gif)
Remzi Uctum Patricia Renou‐Maissant Georges Prat Sylvie Lecarpentier‐Moyal 《Review of Financial Economics》2017,35(1):43-56
We analyze the persistence effects in the empirical relationship between announcement releases and return volatilities of four major companies of the French stock market using high frequency data over the period 1995–1999. Besides its institutional stability, this sample period avoids the econometric difficulties inherent to simultaneous news arrivals. Our approach contributes to the relevant literature in that we focus on individual stock volatilities rather than indices, we distinguish firm‐specific and macroeconomic announcements, and we endogenize both the durations of announcement effects and the response patterns of equity prices. We find that our individual volatilities are affected by a systematic market effect, calendar effects, announcements related to the firms’ macroeconomic environment and announcements related to the firms’ and their competitors’ strategic dealings and commercial outcomes. We find evidence that all volatility responses are gradual with persistence horizons ranging from one to three hours, revealing a significant degree of inefficiency of the French stock market over the period. This inefficiency can be viewed as a breeding ground for the implementation of more performant informational and trading systems that allowed markets to move towards more efficiency. 相似文献
22.
M. Remzi Sanver 《Economic Theory》2006,28(2):453-460
Summary. By a slight generalization of the definition of implementation (called implementation by awards), Maskin monotonicity is no more needed for Nash implementation. In fact, a weaker condition, to which we refer as almost monotonicity is both necessary and sufficient for social choice correspondences to be Nash implementable by awards. Hence our framework paves the way to the Nash implementation of social choice rules which otherwise fail to be Nash implementable. In particular, the Pareto social choice rule, the majority rule and the strong core are almost monotonic (hence Nash implementable by awards) while they are not Maskin monotonic (hence fail to be Nash implementable in the standard framework).Received: 12 April 2004, Revised: 18 March 2005, JEL Classification Numbers:
D 79.I thank François Maniquet, Efe Ok and Ipek Ozkal-Sanver for their valuable contributions. The paper is part of a project on Electoral System Design supported by Bilgi University Research Fund. 相似文献
23.
24.
Review of Economic Design - 相似文献
25.
Review of Economic Design - A social choice rule aggregates the preferences of a group of individuals over a set of alternatives into a collective choice. The literature admits several social... 相似文献