Similar Search Results

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002

This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...

Persistent link: https://www.econbiz.de/10005136650

Skewness Risk Premium: Theory and Empirical Evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christian C - C.E.P.R. Discussion Papers - 2013

of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for … aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low …

Persistent link: https://www.econbiz.de/10011084225

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

Liquidity and Expected Returns: Lessons from Emerging Markets

Bekaert, Geert; Harvey, Campbell; Lundblad, Christian T - C.E.P.R. Discussion Papers - 2006

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...

Persistent link: https://www.econbiz.de/10005792280

Institutional Trade Persistence and Long-Term Equity Returns

Dasgupta, Amil; Prat, Andrea; Verardo, Michela - C.E.P.R. Discussion Papers - 2007

How does the trading behaviour of institutional money managers affect stock prices? In this paper we document a robust relationship between the net trade patterns of institutional money managers and long term equity returns. Examining quarterly data on US institutional holdings from 1983 to...

Persistent link: https://www.econbiz.de/10005504453

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Bekaert, Geert; Engstrom, Eric - C.E.P.R. Discussion Papers - 2010

We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...

Persistent link: https://www.econbiz.de/10008784728

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...

Persistent link: https://www.econbiz.de/10011084210

Bond Supply and Excess Bond Returns

Greenwood, Robin; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2008

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model,...

Persistent link: https://www.econbiz.de/10005661526

Stock and Bond Returns with Moody Investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steve - C.E.P.R. Discussion Papers - 2006

We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the...

Persistent link: https://www.econbiz.de/10005661851

Riding the South Sea Bubble

Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004

The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We analyse the trading behaviour of a sophisticated investor, a London goldsmith bank, during the South Sea bubble in 1720. The bank believed the stock to be overvalued, yet found it...

Persistent link: https://www.econbiz.de/10005136583

1
2
3
4
5
6
7
8
9
Next
Last