Similar Search Results

Do Countries or Industries Explain Momentum in Europe?

Nijman, Theo; Swinkels, L.A.P.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011090881

Analyzing specification errors in models for futures risk premia with hedging pressure

Nijman, Theo; de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011092594

Preferences, Consumption Smoothing and Risk Premia

Lettau, M.; Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1997

-return tradeoff measured by the Sharpe-ratio. In general, the risk-return trade-off implied by preferences depends on the elasticity …

Persistent link: https://www.econbiz.de/10011090587

The Risk Premium for Equity : Explanations and Implications

Grant, S.; Quiggin, J. - Tilburg University, Center for Economic Research - 2001

The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capital Asset Pricing Model's (CCAPM's) prediction of the premium associated with systematic risk is out by an order of magnitude.The object of this paper is to consider the implications of each of...

Persistent link: https://www.econbiz.de/10011091240

Rubinstein auctions : On competition for bargaining partners

Chatterjee, K.; Dutta, B. - Tilburg University, Center for Economic Research - 1994

Persistent link: https://www.econbiz.de/10011090521

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

The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity

Nijman, Theo; van soest, arthur; Spierdijk, L. - Tilburg University, Center for Economic Research - 2002

a trade and its relation to the trading intensity.While the price impact curve for frequently traded stocks … show that, for infrequently traded stocks, it may take several days before the full information price that follows a trade …

Persistent link: https://www.econbiz.de/10011091010

Tradeable Emission Permits in Oligopoly

de Zeeuw, Aart; Fershtman, C. - Tilburg University, Center for Economic Research - 1996

market. The paper demonstrates that in such a structure allowing trade in emission permits is not necessarily beneficial. In …

Persistent link: https://www.econbiz.de/10011091126

An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE

Spierdijk, L. - Tilburg University, Center for Economic Research - 2002

Asymmetric information models predict comovements among trade characteristics such as returns, bid-ask spread, and … trade volume on one hand and the trading intensity on the other hand.In this paper we investigate empirically the two …-sided causality between trade characteristics and trading intensity.We apply a VAR-model for returns, bid-ask spread, trade volume …

Persistent link: https://www.econbiz.de/10011092563

Country and Consumer Segmentation : Multi-Level Latent Class Analysis of Financial Product Ownership

Bijmolt, T.H.A.; Paas, L.J.; Vermunt, J.K. - Tilburg University, Center for Economic Research - 2003

The financial services sector has internationalized over the last few decades.Important differences and similarities in financial behavior can be anticipated between both consumers within a particular country and those living in different countries.For companies in this market, the appropriate...

Persistent link: https://www.econbiz.de/10011092724