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ECONIS (ZBW)
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1
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012469819
Saved in:
2
"Excess Volatility" and the German Stock Market, 1876-1990
De Long, J. Bradford
-
1992
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 German stock market has also possessed excess volatility' in the past...
Persistent link: https://www.econbiz.de/10012474925
Saved in:
3
Why Does the Stock Market Fluctuate?
Barsky, Robert B.
-
1992
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012474985
Saved in:
4
Testing Strategic Bargaining Models Using Stock Market Data
Tracy, Joseph S.
-
1988
This paper presents three empirical teats of a class of asymmetric information bargaining models using stock market data. The basic idea behind these models is that protracted bargaining can be used to infer information that is privately known by another party to the negotiations. A fundamental...
Persistent link: https://www.econbiz.de/10012476306
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5
Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A.
-
1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
Saved in:
6
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M.
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10012457188
Saved in:
7
Levered Returns
Welch, Ivo
-
2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012456525
Saved in:
8
War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David
;
Mai, Dat
;
Pukthuanthong, Kuntara
-
National Bureau of Economic Research
-
2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
Saved in:
9
Governance and Comovement Under Common Ownership
Edmans, Alex
-
2014
derive empirical predictions for the direction of
correlation
and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10012458246
Saved in:
10
The Lucas Orchard
Martin, Ian
-
2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10012461095
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