Many financial markets impose limits on the amount asset prices can change within a trading day to prevent the market from overreacting and, hence, to dampen volatility. Using intraday data from Taiwan Stock Exchange (TSE), we document a statistically and economically significant tendency for stock prices to accelerate toward the upper bound and weak evidence of acceleration toward the lower bo...

We hypothesize that the degree of public attention influences the price level of stocks in a systematic way. We employ a simple discounted cash flow model with adverse selection and fixed transaction costs that determine an endogenous bid-ask-spread. In the model, rational and risk neutral investors incorporate future trading conditions into their price setting behavior. These trading condition...

In this note we show that the results developed in Singh and Vives (1984) are sensitive to the duopoly assumption (Rand Journal of Economics 15, 546-554). If there are more than two firms, prices may be higher under price competition than under quantity competition. This will be the case if quality differences are large and goods are complements. If goods are substitutes, high-quality firms may...

ELECTIONS AND ASSET PRICING: THE POLITICALLY SENSITIVE EQUITY OF US MILITARY CONTRACTORS by

most previous laboratory studies of local scour at bridge abutments were performed in rectangular channels in which the distributions of flow velocity and bed shear stress were considered uniform in the transverse direction. in reality however, bridge abutments are usually located in the floodplain zone of rivers where velocity and shear stress distributions are directly affected by the lat...

Zusammenfassung Medium-term price continuation, commonly defined as momentum, is a widespread phenomenon in financial markets. It exists for individual stocks (Jegadeesh and Titman, 1993), industry sectors (Moskowitz Grinblatt, 1999), style portfolios (Lewellen, 2002), international equity markets (Rouwenhorst, 1998; Chui et al., 2010), across asset classes (Bhojraj Swaminathan, 2006; Menkhoff ...

In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial endowments laying outside the solvency region but ending inside. Such a phenomenon was discovered by M. Rás...

Focus is here on coalitional games among economic agents plagued by aggregate pollutions of diverse sorts. Defecting players presumably pollute more than others. Then, granted convex preferences and technologies, the core is proven nonempty. In fact, under natural assumptions, a specific, computable core solution comes in terms of shadow prices on the said aggregates. Such prices may, in large ...

For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an...