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Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

Persistent link: https://www.econbiz.de/10011090768

Volatility Spillover Effects in European Equity Markets

Baele, Lieven - Tilburg University, Center for Economic Research - 2003

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …

Persistent link: https://www.econbiz.de/10011091647

Do Macroeconomic Announcements Cause Asymmetric Volatility

de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003

Persistent link: https://www.econbiz.de/10011091651

Bubbles and Trading Frenzies : Evidence from the Art Market

Renneboog, Luc; Penasse, J.N.G. - Tilburg University, Center for Economic Research - 2014

The art market is subject to frequent booms and busts in both prices and volume,<br/>which are difficult to reconcile with models where agents are rational and<br/>hold homogenous beliefs. This paper shows that (i) volume is mainly driven by<br/>speculative transactions; (ii) positive price-volume correlation...

Persistent link: https://www.econbiz.de/10011144431

Model Risk and Regulatory Capital

Melenberg, Bertrand; Schumacher, Johannes M.; Kerkhof, … - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011092598

Labor Income and the Demand for Long-term Bonds

Nijman, Theo; Werker, Bas J.M.; Koijen, R.S.J. - Tilburg University, Center for Economic Research - 2005

The riskless nature in real terms of inflation-linked bonds has led to the conclusion that inflation-linked bonds should constitute a substantial part of the optimal investment portfolio of long-term investors.This conclusion is reached in models where investors do not receive labor income...

Persistent link: https://www.econbiz.de/10011092730

Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds

Renneboog, Luc; Palomino, F.A.; Zhang, C. - Tilburg University, Center for Economic Research - 2005

Stock markets and betting markets co-exist for professional soccer clubs listed on the London Stock Exchange.For each firm, two pieces of information are released to the stock market on a weekly basis from August to June: experts expectations about game outcomes through the betting odds, and the...

Persistent link: https://www.econbiz.de/10011092755

The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

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

The Dutch Grey Market

Renneboog, Luc; Spaenjers, C. - Tilburg University, Center for Economic Research - 2008

When-issued trading concerns transactions in securities that have not yet been issued. This type of trade often takes place in a so-called ‘grey market’, in which all contracts are conditional on the issuance of the security. In this paper, we investigate the Dutch grey market for...

Persistent link: https://www.econbiz.de/10011092801