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Stock Exchange Competition in a Simple Model of Capital Market Equilibrium
Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...
Persistent link: https://www.econbiz.de/10005858015
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Explaining Asymmetric Volatility around the World
Talpsepp, Tonn; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
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Arbitrage in Stationary Markets
Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007
discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …
Persistent link: https://www.econbiz.de/10005857775
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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices
Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …
Persistent link: https://www.econbiz.de/10005857785
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On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009249004
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International Bond Risk Premia
Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...
Persistent link: https://www.econbiz.de/10009305251
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Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries
Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744
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Geographic versus Industry Diversification : Constraints Matter
Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...
Persistent link: https://www.econbiz.de/10005857789
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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton’s ICAPM. The systematic pricing of credit riskis...
Persistent link: https://www.econbiz.de/10005857973
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Safe Haven Currencies
Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005858064