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Size, value and liquidity: Do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous …-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to … market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this …

Persistent link: https://www.econbiz.de/10008694113

Macro expectations, aggregate uncertainty, and expected term premia

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...

Persistent link: https://www.econbiz.de/10008694114

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10008533681

Returns and Volatility of Eurozone Energy Stocks

Oberndorfer, Ulrich - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However …

Persistent link: https://www.econbiz.de/10005097537

EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry

Oberndorfer, Ulrich - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

This paper constitutes – to our best knowledge – the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes...

Persistent link: https://www.econbiz.de/10005097601

Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors

Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10005097624

Environmentally oriented energy policy and stock returns: an empirical analysis

Oberndorfer, Ulrich; Ziegler, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for … that the 2002 Bundestag elections and therefore stringent environmental regulation had at least no general negative effect …

Persistent link: https://www.econbiz.de/10005097701

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Persistent link: https://www.econbiz.de/10005097856

Why Are Asset Returns Predictable?

Lüders, Erik - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2002

if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to …]. Under nonconstant elasticity of the pricing kernel financial ratios as the price-earnings ratio have predictive power for … differential equation only under the constant elasticity pricing kernel. Hence, usually asset price processes do not satisfy the …

Persistent link: https://www.econbiz.de/10005097932

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Lüders, Erik; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...

Persistent link: https://www.econbiz.de/10005098117