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Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

American depositary receipts (adr) holdings of U.S. based emerging market funds

Aggarwal, Reena - 2005

"For a foreign "issuer," the benefits of cross-listing in the United States are extensively documented in the literature. However it is not clear what motivates "investors" to hold American Depositary Receipts (ADRs) rather than the underlying stock of these issuers. The authors address the...

Persistent link: https://www.econbiz.de/10010522661

Institutional determinants of balance of payment dynamics

Voll, Sebastian - 2015

Dynamics of Balance of Payment developments are still barely researched. Chapter 1 tries to summarize empirical evidence between institutional determinants and BoP movements and proposes a framework for the role of institutions in a debt cycle. It is found that “good” institutions do help a...

Persistent link: https://www.econbiz.de/10010495614

Quantitative analysis of crisis : crisis identification and causality

Ishihara, Yoichiro - 2005

"Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on...

Persistent link: https://www.econbiz.de/10010522602

The price of inconvertible deposits : the stock market boom during the Argentine crisis

Horen, Neeltje van - 2003

Persistent link: https://www.econbiz.de/10010523291