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Stock Return Predictability : Is it There?

Ang, Andrew - 2001

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …

Persistent link: https://www.econbiz.de/10012470517

The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse

White, Eugene N. - 2007

The rapid growth of derivative markets has raised concerns about counterparty risk. It has been argued that their mutual guarantee funds provide an adequate safety net. While this mutualization of risk protects clients and brokers from idiosyncratic shocks, it is generally assumed that it also...

Persistent link: https://www.econbiz.de/10012465723

Old Europe ages : Reforms and Reform Backlashes

Boersch-Supan, Axel H. - 2010

This paper focuses on three large Continental European countries: France, Germany, and Italy. These countries have …

Persistent link: https://www.econbiz.de/10012462881

Testing Asset Pricing Theory on Six Hundred Years of Stock Returns : Prices and Dividends for the Bazacle Company from 1372 to 1946

Bris, David le - 2014

The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent dividends and a time-varying risk correction. The model is not rejected by the data. Variations in expected future dividends are found to explain between one-sixth and...

Persistent link: https://www.econbiz.de/10012458466

Does the Market Value R&D Investment by European Firms? Evidence from a Panel of Manufacturing Firms in France, Germany, and Italy

Hall, Bronwyn H. - 2004

panel dataset of firms that are publicly traded in France, Germany, and Italy. Controlling for either permanent unobserved …&D in France and Germany is remarkably similar both to each other and to that in the US or the UK during the same period In …

Persistent link: https://www.econbiz.de/10012468285

Anomalies Abroad : Beyond Data Mining

Lu, Xiaomeng - 2017

, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed …

Persistent link: https://www.econbiz.de/10012453902

MPC Heterogeneity in Europe : Sources and Policy Implications

Ampudia, Miguel - 2018

. The estimation of key parameters uses a simulated method of moments approach to match moments related to asset market … estimation are used to characterize the distributions of the marginal propensity to consume across households for each of the … policy-induced variations in stock returns. Finally, monetary contractions have a larger impact on consumption in Germany and …

Persistent link: https://www.econbiz.de/10012480733

Central Bank Credibility : An Historical and Quantitative Exploration

Bordo, Michael D. - 2015

In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...

Persistent link: https://www.econbiz.de/10012457842

Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective

Bordo, Michael - 2014

This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...

Persistent link: https://www.econbiz.de/10012457973

International Evidence on Sticky Consumption Growth

Carroll, Christopher D. - 2008

We estimate the degree of 'stickiness' in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a stickiness...

Persistent link: https://www.econbiz.de/10012464771

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