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International Diversification Benefits with Foreign Exchange Investment Styles
Kroencke, Tim A.; Schindler, Felix; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2011
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles …). These results prevail for the most important investment styles after accounting for transaction costs due to re-balancing of … but we also show that international portfolios augmented by FX investment styles are superior in terms of second and third …
Persistent link: https://www.econbiz.de/10008867491
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Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
Christensen, Peter O.; Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, we show that public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. In a model with exponential utility investors and an asset with a normally distributed dividend,...
Persistent link: https://www.econbiz.de/10010851221
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … model, both considering the absolute valuation errors and an investment setting where simple investment strategies are made … investment strategies, but also in this setting the CCAPM model outperforms the CAPM model in most dimensions. I further show …
Persistent link: https://www.econbiz.de/10009293656
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The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderllind, Paul - School of Economics and Management, University of Aarhus - 2009
To capture time-variation in the risk exposure of exchange rates, this paper suggests a factor model with stock and bond markets as the explanatory factors - but where the betas are allowed to depend on the exchange rate volatility. Empirical results on daily data from 1995 to 2008 show that a...
Persistent link: https://www.econbiz.de/10005787555
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Classifying Returns as Extreme: European Stock and Bond Markets
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2013
I consider the stock and bond markets of 14 EU countries. I use two classifi?cation schemes for de?fining extreme returns: One, the existing univariate classi?fication scheme which considers each market separately. Two, the new multivariate classi?fication scheme that considers all the markets...
Persistent link: https://www.econbiz.de/10010851280
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Integration of European Bond Markets
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012
I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...
Persistent link: https://www.econbiz.de/10010851292
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Decomposing European Bond and Equity Volatility
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2007
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analyzed simultaneously. A new model belonging to the "volatility-spillover" class is suggested: The...
Persistent link: https://www.econbiz.de/10005209092
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Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2009
We estimate long-run consumption-based asset pricing models using a comprehensive set of international test assets, including broad equity market portfolios, international value/growth portfolios, and international bond portfolios. We find that differences in returns across assets within a...
Persistent link: https://www.econbiz.de/10008509461
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Dividend predictability around the world
Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010
The common perception in the literature, mainly based on U.S. data, is that current dividend yields are uninformative about future dividends. We show that this finding changes substantially when looking at a broad international panel of countries, as aggregate dividend growth rates are found to...
Persistent link: https://www.econbiz.de/10008474508
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A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010
What drives volatility on financial markets? This paper takes a comprehensive look at the predictability of financial market volatility by macroeconomic and financial variables. We go beyond forecasting stock market volatility (by large the focus in previous studies) and additionally investigate...
Persistent link: https://www.econbiz.de/10008534434