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Tell-tale tails : a data driven approach to estimate unique market information shares

Grammig, Joachim; Peter, Franziska J. - 2010

delivers upper and lower bounds of a market's information share. When these bounds diverge, as is the case in many applications … differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of … pricing credit risk during the pre-crisis period. -- price discovery ; information share ; fat tails ; tail dependence …

Persistent link: https://www.econbiz.de/10008666526

Projected earnings accuracy and the profitability of stock recommendations

Hess, Dieter; Kreutzmann, Daniel; Pucker, Oliver - 2010

We document that investors can actually profit from the contemporaneous link between earnings accuracy and recommendation profitability (Loh and Mian (2006)). Differentiating between "able" and "lucky" analysts we suggest an implementable, i.e. look-ahead bias free, trading strategy that yields...

Persistent link: https://www.econbiz.de/10008696828

Asset pricing with a reference level of consumption : new evidence from the cross-section of stock returns

Grammig, Joachim; Schrimpf, Andreas - 2009 - This version: March 27, 2009

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level....

Persistent link: https://www.econbiz.de/10009525974

On the relative performance of multi-strategy and funds of hedge funds

Agarwal, Vikas; Kale, Jayant R. - 2007 - This version: June 14, 2007

Recently, there has been explosive growth in two products from the hedge fund industry - multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well-functioning markets, both investment vehicles should offer...

Persistent link: https://www.econbiz.de/10009526500

International characteristic-based asset pricing

Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

Persistent link: https://www.econbiz.de/10012387428