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Economic Valuation of Liquidity Timing
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
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Natural Gas Extraction, Earthquakes and House Prices
Koster, Hans R.A.; Ommeren, Jos N. van - Tinbergen Instituut - 2015
The production of natural gas is strongly increasing around the world. Long-run negative external effects of extraction are understudied and often ignored in social) cost-benefit analyses. One important example is that natural gas extraction leads to soil subsidence and subsequent induced...
Persistent link: https://www.econbiz.de/10011256741
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Behavioural Real Estate
Salzman, Diego A.; Zwinkels, Remco C.J. - Tinbergen Instituut - 2013
The behavioural approach to decision making under uncertainty combines insights from psychology and sociology into economic decision making. It steps away from the normative homo economicus and introduces a positive approach to human decision making under uncertainty. We provide an overview of...
Persistent link: https://www.econbiz.de/10011256779
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Historic Amenities and Housing Externalities: Evidence from The Netherlands
Koster, Hans R.A.; Rouwendal, Jan - Tinbergen Instituut - 2015
It has been argued that the growth of cities is increasingly determined by the presence of amenities. We study the economic effects of large scale subsidised investments in historic amenities, by looking at their impact on house prices. We aim to distinguish between the direct and indirect...
Persistent link: https://www.econbiz.de/10011257615
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The Downside Risk of Heavy Tails induces Low Diversification
Hyung, Namwon; Vries, Casper G. de - Tinbergen Instituut - 2010
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...
Persistent link: https://www.econbiz.de/10011255679
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
Marsh, Ian W.; Wagner, Wolf - Tinbergen Instituut - 2012
We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to <I>common</I> (and not firm-specific) news and arises predominantly in response to <I>positive</I> (instead of...</i></i>
Persistent link: https://www.econbiz.de/10011255704
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Behavioral Heterogeneity in Stock Prices
Boswijk, Peter; Hommes, Cars H.; Manzan, Sebastiano - Tinbergen Instituut - 2005
This discussion paper led to a publication in the <I>Journal of Economic Dynamics and Control</I>. Volume 31(6), pp. 1938-1970.<P> We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all...</p></i>
Persistent link: https://www.econbiz.de/10011255800
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Heterogeneous Agent Models in Economics and Finance
Hommes, Cars H. - Tinbergen Instituut - 2005
This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...
Persistent link: https://www.econbiz.de/10011255802
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Asset Market Linkages in Crisis Periods
Hartmann, P.; Straetmans, S.; Vries, C.G. de - Tinbergen Instituut - 2001
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...
Persistent link: https://www.econbiz.de/10011255868
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Interacting Agents in Finance
Hommes, Cars - Tinbergen Instituut - 2006
This discussion paper led to a chapter in: (S.N. Durlauf & L.E. Blume (Eds.))<I>The New Palgrave Dictionary of Economics</I> 2nd ed. Vol.4, pp. 402-406. Basingstoke: Palgrave Macmillan, 2008.<P> Interacting agents in finance represent a behavioral, agent-based approach in which financial markets are...</p></i>
Persistent link: https://www.econbiz.de/10011255945