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Should smart investors buy funds with high returns in the past
Palomino, F.A.; Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1999
Persistent link: https://www.econbiz.de/10011090424
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Do Spin-offs really Create Value? The European Case
Veld, C.H.; Merkoulova, Y.V. - Tilburg University, Center for Economic Research - 2001
We study wealth effects for a sample of 161 spin-offs from 15 different European countries that were announced between January 1987 and September 2000. The cumulative average abnormal return over the three-day event window is 2.35%. The mean abnormal return is 2.89% for companies that increase...
Persistent link: https://www.econbiz.de/10011090317
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Forecast Accuracy after Pretesting with an Application to the Stock Market
Magnus, Jan R.; Danilov, D.L. - Tilburg University, Center for Economic Research - 2002
In econometrics, as a rule, the same data set is used to select the model and, conditional on the selected model, to forecast.However, one typically reports the properties of the (conditional) forecast, ignoring the fact that its properties are affected by the model selection (pretesting).This...
Persistent link: https://www.econbiz.de/10011091069
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Time Varying Market Integration and Expected Rteurns in Emerging Markets
de Jong, Frank C. J. M.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2001
We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market...
Persistent link: https://www.econbiz.de/10011091339
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Robust One Period Option Modelling
Lutgens, F.; Sturm, J.F. - Tilburg University, Center for Economic Research - 2002
AMS classifications: 90C15; 90C20; 90C90; 49M29;
Persistent link: https://www.econbiz.de/10011091796
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The Dynamics of the Impact of Past Performance on Mutual Fund Flows
Nijman, Theo; Werker, Bas J.M.; Goriaev, A.P. - Tilburg University, Center for Economic Research - 2002
This study reconsiders the determinants of flows into US growth funds, focusing in particular on the dynamics of the impact of past performance on flows.We model the flow-performance relationship at the monthly frequency, allowing for dependence of the sensitivity of flows to past performance on...
Persistent link: https://www.econbiz.de/10011092674
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Common Factors in International Bond Returns
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 2000
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of...
Persistent link: https://www.econbiz.de/10011092795
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Public Infrastructure Investment, Output Dynamics, and Balanced Budget Fiscal Rules
Duarte Bom, P.R.; Ligthart, J.E. - Tilburg University, Center for Economic Research - 2011
We study the dynamic output and welfare effects of public infrastructure investment under a balanced budget fiscal rule …, using an overlapping generations model of a small open economy. The government finances public investment by employing …-run output multiplier. In contrast to conventional results regarding public investment shocks, we obtain dampened cycles in …
Persistent link: https://www.econbiz.de/10011090750
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Output Dynamics, Technology, and Public Investment
Duarte Bom, P.R.; Heijdra, B.J.; Ligthart, J.E. - Tilburg University, Center for Economic Research - 2010
The paper studies the dynamic output effects of public infrastructure investment in a small open economy. We develop an … conventional results obtained from hysteretic models, we find non-monotonic output dynamics of a public investment impulse in the …
Persistent link: https://www.econbiz.de/10011090760
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How Productive is Public Capital? A Meta-Analysis
Duarte Bom, P.R.; Ligthart, J.E. - Tilburg University, Center for Economic Research - 2008
The paper analyzes the contribution of public capital to private output using several metaanalytical techniques. Both fixed and random effects models are estimated by Weighted Least Squares. Sample overlap across studies is explicitly controlled for by employing a `full' Generalized Least...
Persistent link: https://www.econbiz.de/10011090875