Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Cross-asset speculation in stock markets.

Bernhardt, D. and Taub, B. (2008) 'Cross-asset speculation in stock markets.', Journal of finance., 63 (5). pp. 2385-2427.

Abstract

In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. The covariance structure of asset fundamentals drives that of prices, while the covariance structure of liquidity trade drives that of order flows. We characterize how speculator profits vary with the distributions of information and liquidity trade across assets and speculators, and relate the cross-asset factor structure of order flows to that of returns.

Item Type:Article
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.1540-6261.2008.01400.x
Record Created:09 Aug 2011 10:05
Last Modified:13 Jun 2012 09:17

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Usage statisticsLook up in GoogleScholar | Find in a UK Library