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Predictive accuracy of political stock markets : empirical evidence from a European perspective
Berlemann, Michael; Schmidt, Carsten - 2001
In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive …
Persistent link: https://www.econbiz.de/10009614879
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
Persistent link: https://www.econbiz.de/10009581105
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173
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How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment
Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.
For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...
Persistent link: https://www.econbiz.de/10009621415
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...
Persistent link: https://www.econbiz.de/10009582383
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Presents or investments? : an experimental analysis
Genîzî, Ûrî; Güth, Werner; Verboven, Frank - 1998
.’s investment game by introducing an upper bound to what a contributor can be repaid afterwards. By varying this upper bound …
Persistent link: https://www.econbiz.de/10009578011
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Finance, investment, and firm value in Germany and the US : a comparative analysis
Nowak, Eric - 1998
impact of financing, investment, and dividend decisions on the value of stock corporations in Germany and the US. The …Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a … in the two countries and in (ii) the interaction of investment and financing decisions. This paper investigates the …
Persistent link: https://www.econbiz.de/10009578016
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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …
Persistent link: https://www.econbiz.de/10009578577
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the … latter technique in a simple monetary framework for both Germany and the Euro area. VAR/VECM residuals are interpreted as …
Persistent link: https://www.econbiz.de/10009620773
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...
Persistent link: https://www.econbiz.de/10009621421