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  • EJF-Accepted-Investors’ heterogeneous beliefs

    Llawysgrif awdur wedi’i dderbyn, 673 KB, dogfen-PDF

    Embargo yn dod i ben: 14/09/20

Dangosydd eitem ddigidol (DOI)

We propose a model in which sovereign credit news from multiple rating agencies interacts with market heterogeneity. The model illustrates that the first messenger discloses new information while additional messengers play an important role of coordinating heterogeneous beliefs. Empirical investigations based on sovereign credit ratings, foreign exchange and equity markets confirm that rating news coordinates investors’ beliefs. Sovereign credit rating news from both types of messenger induces a significant impact on exchange rates and stock indices. Volatility measures increase in response to news from the first messenger while ex-post volatility reduces following news from an additional messenger.

Allweddeiriau

Iaith wreiddiolSaesneg
Tudalennau (o-i)1211-1233
CyfnodolynEuropean Journal of Finance
Cyfrol25
Rhif y cyfnodolyn13
Dyddiad ar-lein cynnar14 Maw 2019
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 2 Medi 2019
Gweld graff cysylltiadau