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Four Centuries of Return Predictability
Golez, Benjamin - 2014
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10012457852
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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
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Measuring Bias in Consumer Lending
Dobbie, Will - 2018
This paper tests for bias in consumer lending decisions using administrative data from a high-cost lender in the United … Kingdom. We motivate our analysis using a simple model of bias in lending, which predicts that profits should be identical for … marginal loan applicants by exploiting variation from the quasi-random assignment of loan examiners. We find significant bias …
Persistent link: https://www.econbiz.de/10012480606
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Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
Chabot, Benjamin - 2009
We evaluate the importance of "Limits to Arbitrage" to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our findings...
Persistent link: https://www.econbiz.de/10012463058
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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
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Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
Ito, Takatoshi - 1993
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on...
Persistent link: https://www.econbiz.de/10012474348
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Transmission of Volatility Between Stock Markets
King, Mervyn A. - 1989
This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This...
Persistent link: https://www.econbiz.de/10012476144
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Stock Volatility During the Recent Financial Crisis
Schwert, G. William - 2011
This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting...
Persistent link: https://www.econbiz.de/10012461682
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Peer Advice on Financial Decisions : A case of the blind leading the blind?
Ambuehl, Sandro - 2018
Previous research shows that many people seek financial advice from non-experts, and that peer interactions influence financial decisions. We investigate whether such influences are beneficial, harmful, or simply haphazard. In our laboratory experiment, face-to-face communication with a randomly...
Persistent link: https://www.econbiz.de/10012480687
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Evidence on Rationality in Commercial Property Markets : An Interpretation and Critique
Hendershott, Patric - 2005
Periodic sharp sustained increases and then reversals in asset prices lead many to posit irrational price bubbles. The general case for irrationality is that real asset prices simply have moved too much given the future real cash flows the assets are reasonably likely to produce. A corollary for...
Persistent link: https://www.econbiz.de/10012467354