According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Amid lively debate on the consequences of temporary employment, the paper examines the wages and transitions of temporary employees in Germany using socio-economic panel data from the late 1990s. Compared to simple OLS estimates, using a fixed effects model decreases wage differentials between...

This paper investigates whether job stability in western Germany shows any signs of decline and compares the findings to evidence for the US and the UK. Cross sectional data and calendar information from the German Socioeconomic Panel 1984-1997 are combined allowing to check possible influences...

This paper evaluates complementarities of labor market institutions and the business cycle in the context of a stochastic dynamic general equililbriurn model econorny. Matching between workers and vacancies with endogenous search intensity, Nash-bargained wages, payroll taxation, and...

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...

Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

In this paper we analyze the sources of German unemployment within a structural vector error correction model (SVECM) framework. For this purpose, we propose a method to estimate an exactly identified Subset SVECM, which is a SVECM with short run parameter restrictions. A cointegration analysis...

This paper evaluates complementarities of labor market institutions and the business cycle in the context of a stochastic dynamic general equilibrium model economy. Matching between workers and vacancies with endogenous time spent in search, Nash{bargained wages, payroll taxation, and...