Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2019.08.001
Abstract: Abstract Using a discrete-time asset-pricing model, I specify the economic rationale for a rich array of price dynamics. Two boundedly-rational investors with different risk preferences trade periodically, where excess supply is cleared by a tâtonnement… read more here.
Keywords: momentum reversal; bubbles crashes; price discovery; price ... See more keywords
Institutional Information Manipulation and Individual Investors’ Disadvantages: A New Explanation for Momentum Reversal on the Chinese Stock Market
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1593825
Abstract: ABSTRACT In this study, empirical evidence is presented to explain the momentum reversal phenomenon in the Chinese stock market in terms of the manipulation of institutional information. On the institutional “sell” side, we demonstrate that… read more here.
Keywords: momentum reversal; stock market; stock; chinese stock ... See more keywords