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Post Earnings Announcement Drift : More Risk than Investors can Bear

Suijs, J.P.M. - Tilburg University, Center for Economic Research - 2002

This paper shows how post earnings announcement drift may arise in a capital market with rational investors if the firm's earnings in consecutive periods are positively correlated and there is a fixed supply of the firm's shares.This result is driven by the fact that equilibrium share prices...

Persistent link: https://www.econbiz.de/10011091358

Fiscal Policies and Endogenous Growth in Integrated Capital Markets

Lejour, A.M.; Verbon, H.A.A. - Tilburg University, Center for Economic Research - 1996

capital mobility.Public investment and a public consumption good are financed by a source-based capital-income tax. By … comparing the cases in which countries do and do not coordinate their fiscal policies, it follows that spending on investment ….Coordination of only investment policy decreases the inefficiency of that policy, but it increases the inefficiency of noncoordinated …

Persistent link: https://www.econbiz.de/10011092601

Recent developments in modeling volatility in financial data

Nijman, Theo; Palm, F.C. - Tilburg University, Center for Economic Research - 1991

Persistent link: https://www.econbiz.de/10011090546

The Term Structure of Credit Spreads on Euro Corporate Bonds

van Landschoot, A. - Tilburg University, Center for Economic Research - 2003

of 1577 investment grade corporate and 250 AAA rated government bonds, we first estimate the term structure of credit …

Persistent link: https://www.econbiz.de/10011090559

Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market

Engelen, P.J.; Kabir, M.R. - Tilburg University, Center for Economic Research - 2001

This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks.We evaluate whether the regulatory authorities can successfully use the mechanism of trading halts in forcing companies to disclose new and material information to the capital market.In...

Persistent link: https://www.econbiz.de/10011090925

Testing for mean-variance spanning : A survey

Nijman, Theo; de Roon, F.A. - Tilburg University, Center for Economic Research - 1998

Persistent link: https://www.econbiz.de/10011091183

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

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Nijman, Theo; Swinkels, L.A.P. - Tilburg University, Center for Economic Research - 2003

Persistent link: https://www.econbiz.de/10011091491

Understanding Internal Capital Markets and Corporate Policies

Cremers, M.; Huang, R.; Sautner, Z. - Tilburg University, Center for Economic Research - 2009

local member bank level. We first show that a member bank’s investment (net loan growth) is generally not fully independent …

Persistent link: https://www.econbiz.de/10011091968

Market Efficiency and Price Formation When Dealers are Asymmetrically Informed

Calcagno, R.; Lovo, S.M. - Tilburg University, Center for Economic Research - 2002

We consider the effect of asymmetric information on the price formation process in a quote-driven market where one market maker receives a private signal on the security fundamental.A model is presented where market makers repeatedly compete in prices: at each stage a bid-ask auction occurs and...

Persistent link: https://www.econbiz.de/10011092157