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Initial Performance of Greek IPOs, Underwriter’s Reputation and Oversubscription

Kenourgios, Dimitris; Papathanasiou, Spyros; Melas, … - EconWPA - 2005

determinants of short-run underpricing of 169 IPOs listed on the Athens Stock Exchange (ASE) over the period 1997-2002. The initial … evidence of significant underpricing. Furthermore, the cross sectional analysis on the determinants of the IPOs shows that both … the underwriters’ prestige and the times of oversubscription significantly affect the underpricing level of the IPOs over …

Persistent link: https://www.econbiz.de/10005561626

Equity Premium and Consumption Sensitivity When the Consumer- Investor Allows for Unfavorable Circumstances

Chow, Gregory C. - EconWPA - 2003

Introducing one additional element due to possible misfortune to the return of each of two assets in the basic model of Samuelson (Rev.Econom.Statist.51 (1969)239)on optimum portfolio and consumption decisions,this paper resolves both the excess equity premium and the excess consumption...

Persistent link: https://www.econbiz.de/10005076751

The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework

Altay, Erdinc - EconWPA - 2003

This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...

Persistent link: https://www.econbiz.de/10005076970

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...

Persistent link: https://www.econbiz.de/10005076992

Explaining the Beta, Size and Value Effects Under the Relative Value Theory

Alb, Silviu Iulian - EconWPA - 2004

The RVT predicts equilibrium prices in a world where investors ignore variance and only care about cumulative returns. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant (or constantly increasing) dividend but face each year...

Persistent link: https://www.econbiz.de/10005076993

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...

Persistent link: https://www.econbiz.de/10005077019

Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data

Galagedera, Don U.A.; Maharaj, Elizabeth A. - EconWPA - 2004

This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling- a technique that decomposes a given return series into different timescales enabling investigation at different return intervals....

Persistent link: https://www.econbiz.de/10005125060

Computing Equilibria in Finance Economies

Herings, P.J.J.; Kubler, F. - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005125623

How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders

Walker, Todd B. - EconWPA - 2005

Accommodating asymmetric information in a dynamic asset pricing model is technically challenging due to the problems associated with higher-order expectations. That is, rational investors are forced into a situation where they must forecast the forecasts of other agents (i.e., form higher-order...

Persistent link: https://www.econbiz.de/10005134952

Risk Aversion, Beliefs, and Prediction Market Equilibrium

Gjerstad, Steven - EconWPA - 2004

Manski [2004] analyzes the relationship between the distribution of traders’ beliefs and the equilibrium price in a prediction market with risk neutral traders. He finds that there can be a substantial difference between the mean belief that an event will occur, and the price of an asset that...

Persistent link: https://www.econbiz.de/10005135086