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Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …

Persistent link: https://www.econbiz.de/10011257598

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

Persistent link: https://www.econbiz.de/10011255488

How to measure Corporate Bond Liquidity?

Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Instituut - 2003

, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 … contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …

Persistent link: https://www.econbiz.de/10011256564

Central Clearing and Asset Prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - Tinbergen Instituut - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10011256681

World Equity Premium based Risk Aversion Estimates

Pozzi, L.C.G.; Vries, C.G. de; Zenhorst, J. - Tinbergen Instituut - 2010

The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We gauge the uncertainty pertaining to the country risk...

Persistent link: https://www.econbiz.de/10011257268

Coordination of Expectations in Asset Pricing Experiments

Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; Velden, … - Tinbergen Instituut - 2003

We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....

Persistent link: https://www.econbiz.de/10011257391

Price and Transaction Volume in the Dutch Housing Market

Wit, Erik R. de; Englund, Peter; Francke, Marc - Tinbergen Instituut - 2010

Housing markets typically exhibit a strong positive correlation between the rate of price increase and the number of houses sold. We document this correlation on high-quality Dutch data for the period 1985-2007, and estimate a VEC-model that allows us to study the mechanism giving rise to the...

Persistent link: https://www.econbiz.de/10011257482

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Instituut - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Persistent link: https://www.econbiz.de/10011257504

Common Risk Factors in Equity Markets

Atanasov, Victoria - Tinbergen Instituut - 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed “the global consumption factor”, to explain the patterns in risk premiums on international equity markets. We identify this factor as...

Persistent link: https://www.econbiz.de/10011257535

Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?

Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Instituut - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing …

Persistent link: https://www.econbiz.de/10011257557