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Price Convexity and Skewness
Oleh:
Jianguo Xu
Jenis:
Article from Journal - ilmiah internasional
Dalam koleksi:
The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007)
,
page 2521-2552.
Topik:
SKEWNESS
;
price convexity
;
skewness
Fulltext:
p 2521.pdf
(175.82KB)
Ketersediaan
Perpustakaan Pusat (Semanggi)
Nomor Panggil:
JJ88
Non-tandon:
1 (dapat dipinjam: 0)
Tandon:
tidak ada
Lihat Detail Induk
Isi artikel
This paper develops a model in which investors who are prohibited from short selling agree to disagree on the precision of a publicly observed signal. The model implies that the equilibrium price is a convex function of the public signal. The model predicts that : 1. the stock price reacts more to good news than to bad news 2. the skewness of stock returns is positively correlated with contemporaneous returns, but negatively correlated with lagged returns 3. short sale constraints increase rather than decrease skewness 4. disagreement about information precision increases skewness. Empirical tests conducted find supportive evidence for all these predictions.
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