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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …
Persistent link: https://www.econbiz.de/10010986365
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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010958522
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Does inter-market competition lead to less regulation?
Draus, Sarah - Center for Financial Studies - 2010
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...
Persistent link: https://www.econbiz.de/10010958568
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Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
Grammig, Joachim; Schaub, Eva-Maria - Center for Financial Studies - 2014
solubility and weak identification. We propose a twostep estimation strategy that combines GMM and SMM, and for which we elicit … moments when necessary and determine the crucial factors required for both identification and reasonable estimation precision … estimation of a non-linear dynamic asset pricing model. Our study provides a blueprint for successful estimation of the LRR model. …
Persistent link: https://www.econbiz.de/10010958629
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News media sentiment and investor behavior
Kräussl, Roman; Mirgorodskaya, Elizaveta - Center for Financial Studies - 2014
This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...
Persistent link: https://www.econbiz.de/10011076250
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Stock returns and expected business conditions: Half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...
Persistent link: https://www.econbiz.de/10010958776
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Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...
Persistent link: https://www.econbiz.de/10005176432
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Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - Center for Financial Studies - 2014
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium,...
Persistent link: https://www.econbiz.de/10010986363
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The evolution of global standards of accounting
Gebhardt, Günther - Center for Financial Studies - 1999
The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...
Persistent link: https://www.econbiz.de/10010986378
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Competition between exchanges: Euronext versus Xetra
Kasch-Haroutounian, Maria; Theissen, Erik - Center for Financial Studies - 2006
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10010986385