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"Excess Volatility" and the German Stock Market, 1870-1990

Long, J. Bradford De; Becht, Marco - EconWPA - 1995

This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the Germanstock market has also possessed "excess volatility" over the past...

Persistent link: https://www.econbiz.de/10005408396

Analysis of UAE Bank Stocks

Rao, Ananth - EconWPA - 2003

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity …

Persistent link: https://www.econbiz.de/10005413135

Initiative, Incentives and Soft Information. How Does Delegation Impact The Role of Bank Relationship Managers?

Liberti, Jose Maria - EconWPA - 2004

This paper empirically examines how changes in the hierarchical structure of a large organization can affect incentives. The empirical analysis exploits a change in the hierarchical structure of the Corporate Division of a private foreign commercial bank in Argentina between 1999 and 2001. Using...

Persistent link: https://www.econbiz.de/10005077034

Wealth Effects of Banks' Rights to Market and Originate Annuities

Cowan, Arnold R.; Howell, Jann C.; Power, Mark L. - EconWPA - 2002

We examine wealth effects, for banks and insurers, of bank rights to sell and underwrite annuities. The stock-price reactions to four court and regulatory decisions are consistent with expectations of bank gains at insurers' expense. Cross-sectionally, smaller, riskier insurers with higher...

Persistent link: https://www.econbiz.de/10005561610

Time-Varying Arrival Rates of Informed and Uninformed Trades

Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … composition of the trade. We use the opening bid-ask spread as a measure of market liquidity. We find that as the number of trades …

Persistent link: https://www.econbiz.de/10005413104

Liquidity Effects of Changes in a Pan-European Stock Index

Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005

that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity … after an addition is responsible for the observed rise in value. In the following paper, we examine liquidity effects on … as indicators for liquidity. While there is a medium term price effect, bid-ask spreads do not change significantly due …

Persistent link: https://www.econbiz.de/10005413217

Lending Booms in Europe’s Periphery: South-Western Lessons for Central-Eastern Members

Brzoza-Brzezina, Michal - EconWPA - 2005

In this paper we analyse the potential for lending booms in three biggest new EU member states (Czech Republic, Hungary and Poland) during the process of Euro adoption. Experience of old members (Greece, Ireland and Portugal) as well as econometric evidence speak in favour of strong increases in...

Persistent link: https://www.econbiz.de/10005126434

A Framework for Studying Economic Interactions (with applications to corruption and business cycles)

Verbrugge, Randal J. - EconWPA - 1998

Most economic models implicitly or explicitly assume that interactions between economic agents are 'global' - in other words, each agent interacts in a uniform manner with every other agent. However, localized interactions between microeconomic agents are a pervasive feature of reality. What are...

Persistent link: https://www.econbiz.de/10005407546

Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures

Ergashev, Bakhodir A - EconWPA - 2004

In this paper we consider the problem of sequential detecting change points in economic time series. We compare the performances of three well known procedures, Shiryayev-Roberts, CUSUM and EWMA, in the problem of early detection of the US business cycle turning points using leading indicators...

Persistent link: https://www.econbiz.de/10005407974

CRISES & CRASHES: ARGENTINA 1885 – 2003

Meloni, Osvaldo; Cerro, Ana María - EconWPA - 2005

This paper is aimed at studying the determinants of currency crises suffered by Argentina from 1885 to 2003, on one hand, and at characterizing each particular currency crisis, on the other hand. Firstly, we identify crises episodes throughout the Argentine history. We apply the Eichengreen,...

Persistent link: https://www.econbiz.de/10005408386