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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005
Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework … return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …
Persistent link: https://www.econbiz.de/10005413108
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …
Persistent link: https://www.econbiz.de/10005076972
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DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica
Rubio, Fernando - EconWPA - 2004
Este documento de trabajo analiza el Modelo de Valoración de Opciones basado en la Estructura de Tasas de Interés de Salomon Brothers. Con ello se calcula la duración efectiva de bonos prepagables.
Persistent link: https://www.econbiz.de/10005076983
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Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …
Persistent link: https://www.econbiz.de/10005077020
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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
Schuster, Thomas - EconWPA - 2003
A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...
Persistent link: https://www.econbiz.de/10005134753
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FACTORES DE RIESGO NO SISTEMATICO EN LA EXPLICACION DE LOS RETORNOS DE LAS ACCIONES EN EL MERCADO BURSATIL CHILENO
Rubio, Fernando - EconWPA - 2004
El presente trabajo pretende determinar si es posible desarrollar una estrategia de inversión exitosa en el mercado bursátil usando factores de riesgo no sistemático, tales como aquellos postulados por el análisis fundamental y el técnico. El trabajo se circunscribe así en el área de...
Persistent link: https://www.econbiz.de/10005134781
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Intellectual property and the valuation of biotechnology
Malki, Elli - EconWPA - 1997
The role of intellectual property (IP) as an important value determinant is widely recognized. This article tries to quantify the role of IP in companies valuation by comparing a sample of biotechnology companies (46 companies included in the Genetic Engineering News Index:GEN-Dex) to the...
Persistent link: https://www.econbiz.de/10005134870
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Time-Changed Levy Processes and Option Pricing
Carr, Peter; Wu, Liuren - EconWPA - 2002
As is well known, the classic Black­Scholes option pricing model assumes that returns follow Brownian motion. It is widely recognized that return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non­normal return innovations. Second,...
Persistent link: https://www.econbiz.de/10005134892
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LA INFORMACION CONTABLE Y LA VALUACION DE ACTIVOS DE CAPITAL EN EL SECTOR DE INVERSIONES CHILENO
Rubio, Fernando - EconWPA - 2004
Este trabajo pretende, utilizando una versión modificada del modelo de crecimiento continuo de Higgins para la valuación de activos de capital, obtener evidencia en cuanto a la relevancia de la información contable en la valuación del valor de mercado del patrimonio en la industria de...
Persistent link: https://www.econbiz.de/10005134899
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Bifurcation Routes in Financial Markets
Miloslav, Author - EconWPA - 2001
The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. In a series of papers, Brock and Hommes, propose to model economic and financial markets as adaptive belief systems. Asset price fluctuations in adaptive belief systems are...
Persistent link: https://www.econbiz.de/10005134922